A Class of Solvable Stopping Games

Journal Article · Mon Dec 15 00:00:00 EST 2008 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-008-9035-Z· OSTI ID:21241928

Alvarez, Luis H. R. , ^[1]

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1. Turku School of Economics, Department of Economics (Finland)

We consider a class of Dynkin games in the case where the underlying process evolves according to a one-dimensional but otherwise general diffusion. We establish general conditions under which both the value and the saddle point equilibrium exist and under which the exercise boundaries characterizing the saddle point strategy can be explicitly characterized in terms of a pair of standard first order necessary conditions for optimality. We also analyze those cases where an extremal pair of boundaries exists and investigate the overall impact of increased volatility on the equilibrium stopping strategies and their values.

• OSTI ID: 21241928
• Journal Information: Applied Mathematics and Optimization, Vol. 58, Issue 3; Other Information: DOI: 10.1007/s00245-008-9035-z; Copyright (c) 2008 Springer Science+Business Media, LLC; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

97 MATHEMATICAL METHODS AND COMPUTING
99 GENERAL AND MISCELLANEOUS//MATHEMATICS, COMPUTING, AND INFORMATION SCIENCE
DIFFUSION
EQUILIBRIUM
GAME THEORY
ONE-DIMENSIONAL CALCULATIONS