Discrete-time multi-player stopping and quitting games with redistribution of payoffs

Ivan Guo, Marek Rutkowski

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Abstract

A novel class of multi-period multi-player competitive stopping games with redistribution of payoffs is constructed. Each player can either exit the game for a fixed payoff, determined a priori, or stay and receive an adjusted payoff depending on the decision of other players. The single-period case is shown to be weakly unilaterally competitive under some assumptions on redistribution of payoffs. We present an explicit construction of the unique value at which Nash and optimal equilibria are attained. The multi-period stochastic extension of the game is also studied and solved by the backward induction. The game has interpretations in economic and financial contexts, for example, as a consumption model with bounded resources or a starting point to the construction of multi-person financial game options. Deterministic multi-period quitting games are also examined as an alternative to stopping games.
Original languageEnglish
Title of host publicationArbitrage, Credit and Informational Risks
EditorsCaroline Hillairet, Monique Jeanblanc, Ying Jiao
Place of PublicationSingapore
PublisherWorld Scientific Publishing
Pages171-206
Number of pages36
Volume5
ISBN (Electronic)9789814602082
ISBN (Print)9814602086
DOIs
Publication statusPublished - 2014
Externally publishedYes

Publication series

NamePeking University Series in Mathematics
Volume5

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