The Multi-player Nonzero-sum Dynkin Game in Continuous Time

TL;DR

This paper investigates an N-player nonzero-sum Dynkin game in continuous time, establishing the existence of Nash equilibria for general payoff processes in a non-cooperative setting.

Contribution

It extends the theory of Dynkin games to multiple players with nonzero-sum payoffs, proving the existence of Nash equilibria under broad conditions.

Findings

Existence of Nash equilibrium in N-player nonzero-sum Dynkin games.

Applicable to general payoff processes.

Advances understanding of strategic stopping in continuous-time games.

Abstract

In this paper we study the N-player nonzero-sum Dynkin game ($N\geq 3$) in continuous time, which is a non-cooperative game where the strategies are stopping times. We show that the game has a Nash equilibrium point for general payoff processes.