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arxiv: 1412.1412 · v3 · pith:ELIQ3EAGnew · submitted 2014-12-03 · 🧮 math.OC · math.PR

Zero-sum stopping games with asymmetric information

classification 🧮 math.OC math.PR
keywords stoppingtimesasymmetricchainsgamesinformationmarkovonly
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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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