A Dynkin game with asymmetric information




Jukka Lempa, Pekka Matomäki

2013

Stochastics: An International Journal of Probability and Stochastic Processes

85

5

1

26

26

1744-2508

DOIhttps://doi.org/10.1080/17442508.2012.655279



We study a Dynkin game with asymmetric information. The game has a random expiry time, which is exponentially distributed and independent of the underlying process. The players have asymmetric information on the expiry time, namely only one of the players is able to observe its occurrence. We propose a set of conditions under which we solve the saddle point equilibrium and study the implications of the information asymmetry. Results are illustrated with an explicit example.



Last updated on 2024-26-11 at 17:35