NONZERO-SUM GAMES OF OPTIMAL STOPPING AND GENERALIZED NASH EQUILIBRIUM PROBLEMS

被引：1

作者：

Martyr, Randall ^{[1
]}

Moriarty, John ^{[1
]}

机构：

[1] Queen Mary Univ London, Sch Math Sci, Mile End Rd, London E1 4NS, England

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2021年 / 59卷 / 02期

基金：

英国工程与自然科学研究理事会;

关键词：

optimal stopping; nonzero-sum optimal stopping games; Nash equilibrium; Brownian motion; generalized Nash equilibrium problems; EXISTENCE;

D O I：

10.1137/18M119803X

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In the nonzero-sum setting, we establish a connection between Nash equilibria in games of optimal stopping (Dynkin games) and generalized Nash equilibrium problems. In the Dynkin game this reveals novel equilibria with complex structures which have not been previously studied. The reward functions need not be differentiable and we also obtain novel results on the existence and uniqueness of threshold-type equilibria and on their stability under perturbations to the thresholds.

引用

页码：1443 / 1465

页数：23

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