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Dynkin game with asymmetric information

Esmaeeli, N ; Sharif University of Technology | 2019

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  1. Type of Document: Article
  2. DOI: 10.1007/s41980-018-0132-8
  3. Publisher: Springer International Publishing , 2019
  4. Abstract:
  5. 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. © 2018, Iranian Mathematical Society
  6. Keywords:
  7. Asymmetric information ; Dynkin games ; Initial enlargement of filtrations
  8. Source: Bulletin of the Iranian Mathematical Society ; Volume 45, Issue 1 , 2019 , Pages 283-301 ; 10186301 (ISSN)
  9. URL: https://link.springer.com/article/10.1007/s41980-018-0132-8