Exit game with private information
| Title: | Exit game with private information |
|---|---|
| Authors: | Kwon, H. Dharma, Palczewski, Jan |
| Publication Year: | 2022 |
| Collection: | Mathematics Quantitative Finance |
| Subject Terms: | Mathematics - Optimization and Control, Mathematics - Probability, Quantitative Finance - Mathematical Finance, 91A15, 91A27, 91A55, 60G40 |
| More Details: | The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about their competitor's exit value. We construct an equilibrium for a large class of payoff flows driven by a general one-dimensional diffusion. In the equilibrium, the players employ sophisticated exit strategies involving both the state variable and the posterior belief process. These strategies are specified explicitly in terms of the problem data and a solution to an auxiliary optimal stopping problem. The equilibrium we obtain is further shown to be unique within a wide subclass of symmetric Bayesian equilibria. Comment: 42 pages; significantly revised presentation; strengthened uniqueness result |
| Document Type: | Working Paper |
| Access URL: | http://arxiv.org/abs/2210.01610 |
| Accession Number: | edsarx.2210.01610 |
| Database: | arXiv |
| Description not available. |