Equilibrium in Two-Player Non-Zero-Sum Dynkin Games in Continuous Time

TL;DR

This paper proves the existence of epsilon-equilibria in two-player non-zero-sum Dynkin games in continuous time, offering conditions for equilibria in both randomized and non-randomized stopping times.

Contribution

It establishes the existence of epsilon-equilibria in continuous-time Dynkin games and provides conditions for non-randomized equilibria, advancing game theory in stochastic processes.

Findings

Existence of epsilon-equilibria in randomized stopping times.

Conditions for non-randomized epsilon-equilibria.

Theoretical framework for continuous-time Dynkin games.

Abstract

We prove that every two-player non-zero-sum Dynkin game in continuous time admits an epsilon-equilibrium in randomized stopping times. We provide a condition that ensures the existence of an epsilon-equilibrium in non-randomized stopping times.