Refereed journal article or data article (A1)

A Dynkin game with asymmetric information




List of Authors: Lempa J, Matomaki P

Publisher: TAYLOR & FRANCIS LTD

Publication year: 2013

Journal: Stochastics: An International Journal of Probability and Stochastic Processes

Journal name in source: STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES

Journal acronym: STOCHASTICS

Volume number: 85

Issue number: 5

Number of pages: 26

ISSN: 1744-2508

DOI: http://dx.doi.org/10.1080/17442508.2012.655279


Abstract
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 2021-24-06 at 10:52