Jan Palczewski - A non-zero sum game of exit with asymmetric information
Dates: | 8 November 2023 |
Times: | 15:00 - 16:00 |
What is it: | Seminar |
Organiser: | Department of Mathematics |
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Jan Palczewski (University of Leeds) will speak at the Probability seminar. (in-person)
The timing of a strategic exit from a competitive market is one of the most important business decisions. Motivated by this problem, we examine a stochastic game of exit from a duopoly in which players do not know their competitor's exit payoff. It is a non-zero sum stopping game with asymmetric information. The market uncertainty, observed by both players, is represented by a general one-dimensional diffusion. Under the condition that a certain optimal stopping problem has a solution of a threshold type, we construct a symmetric equilibrium in pure strategies. This equilibrium is further shown to be unique in a wide subclass of symmetric perfect Bayesian equilibria. Our arguments are mainly probabilistic with an occasional use of PDE methods.
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Max Newman Room G.107
Alan Turing Building
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