Article Dans Une Revue Mathematics of Operations Research Année : 2019

Zero-sum stopping games with asymmetric information

Résumé

We study a model of two-player, zero-sum, stopping games with asymmetric information. We assume that the payoff depends on two continuous-time Markov chains (X, Y), where X is only observed by player 1 and Y only by player 2, implying that the players have access to stopping times with respect to different filtrations. We show the existence of a value in mixed stopping times and provide a variational characterization for the value as a function of the initial distribution of the Markov chains. We also prove a verification theorem for optimal stopping rules which allows to construct optimal stopping times. Finally we use our results to solve explicitly two generic examples.

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Dates et versions

hal-01090542 , version 1 (03-12-2014)
hal-01090542 , version 2 (25-01-2016)
hal-01090542 , version 3 (04-12-2017)

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Fabien Gensbittel, Christine Grün. Zero-sum stopping games with asymmetric information. Mathematics of Operations Research, 2019, 44 (1), pp.277-302. ⟨hal-01090542v3⟩
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