Dynkin Game with Asymmetric Information

被引：0
作者：
N. Esmaeeli
P. Imkeller
V. Nzengang
机构：
[1] University of Isfahan,Department of Mathematics, Faculty of Sciences
[2] Sharif University of Technology,Department of Mathematical Sciences
[3] Humboldt-Universität zu Berlin,Institut für Mathematik
来源：
Bulletin of the Iranian Mathematical Society | 2019年 / 45卷
关键词：
Dynkin games; Asymmetric information; Initial enlargement of filtrations; Primary 91A15; Secondary 60G40; 91B24;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We consider a Dynkin game where the seller possesses additional information compared to the buyer. The additional information is described by a random variable taking finitely many values. We show that the game possesses a value and we provide a necessary and sufficient condition for the existence of a Nash equilibrium. Results are illustrated with an explicit example.
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页码：283 / 301
页数：18
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