{
  "id": "1601.05709",
  "version": "v1",
  "published": "2016-01-21T16:59:34.000Z",
  "updated": "2016-01-21T16:59:34.000Z",
  "title": "Stochastic nonzero-sum games: a new connection between singular control and optimal stopping",
  "authors": [
    "Tiziano De Angelis",
    "Giorgio Ferrari"
  ],
  "comment": "16 pages",
  "categories": [
    "math.OC"
  ],
  "abstract": "In this paper we establish a new connection between a class of 2-player nonzero-sum games of optimal stopping and certain 2-player nonzero-sum games of singular control. We show that whenever a Nash equilibrium in the game of stopping is attained by hitting times at two separate boundaries, then such boundaries also trigger a Nash equilibrium in the game of singular control. Moreover a differential link between the players' value functions holds across the two games.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-01-21T16:59:34.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "91A15",
      "91A05",
      "93E20",
      "91A55",
      "60G40",
      "60J60",
      "91B76"
    ],
    "keywords": [
      "singular control",
      "stochastic nonzero-sum games",
      "optimal stopping",
      "connection",
      "nash equilibrium"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 16,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2016arXiv160105709D"
    }
  }
}