Subgame-perfect equilibria in stochastic timing games |
| |
Institution: | 1. Department d’Economia and CREIP, Universitat Rovira i Virgili, Av. Universitat 1, Reus 43204, Spain;2. Department de Gestió d’Empreses and CREIP, Universitat Rovira i Virgili, Av.Universitat 1, Reus 43204, Spain;1. California Institute of Technology, MC 228-77, Pasadena, CA 91125, USA;2. University of British Columbia, 2053 Main Mall, Vancouver, BC V6T1Z2, Canada |
| |
Abstract: | We develop a notion of subgames and the related notion of subgame-perfect equilibrium – possibly in mixed strategies – for stochastic timing games. To capture all situations that can arise in continuous-time models, it is necessary to consider stopping times as the starting dates of subgames. We generalize Fudenberg and Tirole’s (Rev. Econom. Stud. 52, 383–401, 1985) mixed-strategy extensions to make them applicable to stochastic timing games and thereby provide a sound basis for subgame-perfect equilibria of preemption games. Sufficient conditions for equilibrium existence are presented, and examples illustrate their application as well as the fact that intuitive arguments can break down in the presence of stochastic processes with jumps. |
| |
Keywords: | Timing games Stochastic games Mixed strategies Subgame-perfect equilibrium Continuous time Optimal stopping |
本文献已被 ScienceDirect 等数据库收录! |
|