Nonzero-sum games of optimal stopping and generalised Nash equilibrium
arXiv:1709.01905 · doi:10.1137/18M119803X
Abstract
In the nonzero-sum setting, we establish a connection between Nash equilibria in games of optimal stopping (Dynkin games) and generalised Nash equilibrium problems (GNEP). In the Dynkin game this reveals novel equilibria of threshold type and of more complex types, and leads to novel uniqueness and stability results.
23 pages