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Deterministic multi-player Dynkin games

Abstract : A multi-player Dynkin game is a sequential game in which at every stage one of the players is chosen, and that player can decide whether to continue the game or to stop it, in which case all players receive some terminal payoff. We study a variant of this model, where the order by which players are chosen is deterministic, and the probability that the game terminates once the chosen player decides to stop may be strictly less than 1. We prove that a subgame-perfect ε-equilibrium in Markovian strategies exists. If the game is not degenerate this ε-equilibrium is actually in pure strategies.
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Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Thursday, March 18, 2010 - 2:50:12 PM
Last modification on : Wednesday, October 5, 2022 - 3:32:06 PM

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Nicolas Vieille, Eilon Solan. Deterministic multi-player Dynkin games. Journal of Mathematical Economics, Elsevier, 2003, Vol.39,n°8, pp.911-929. ⟨10.1016/S0304-4068(03)00021-1⟩. ⟨hal-00464953⟩



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