How to detect a salami slicer: a stochastic controller-stopper game with unknown competition

Erik Ekström, Kristoffer Lindensjö, Marcus Olofsson

We consider a stochastic game of control and stopping specified in terms of a process $X_t=-\theta {\Lambda }_t+W_t$, representing the holdings of Player 1, where $W$ is a Brownian motion, $\theta$ is…