Sufficient conditions for Nash equilibria in non-zero-sum Dynkin games

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Let X1,X2,Y1,Y2,Z1,Z2X^1,X^2,Y^1,Y^2,Z^1,Z^2 be the payoff processes of a non-zero-sum Dynkin game, with payoff functions

R1(τ,σ)=\mathds1{τ<σ}Xτ1+\mathds1{σ<τ}Yσ1+\mathds1{σ=τ}Zτ1,R^1(\tau,\sigma)=\mathds{1}_{\{\tau<\sigma\}}X^1_\tau+\mathds{1}_{\{\sigma<\tau\}}Y^1_\sigma+\mathds{1}_{\{\sigma=\tau\}}Z^1_\tau, R2(τ,σ)=\mathds1{σ<τ}Xσ2+\mathds1{τ<σ}Yτ2+\mathds1{σ=τ}Zσ2.R^2(\tau,\sigma)=\mathds{1}_{\{\sigma<\tau\}}X^2_\sigma+\mathds{1}_{\{\tau<\sigma\}}Y^2_\tau+\mathds{1}_{\{\sigma=\tau\}}Z^2_\sigma.

Define the regions Yt0,Yt1,Yt2,Yt3\mathbb{Y}^0_t,\mathbb{Y}^1_t,\mathbb{Y}^2_t,\mathbb{Y}^3_t as in the source, define ρ\rho as the first time either X1X^1 or X2X^2 reaches its corresponding YiY^i, and define τ^\widehat\tau and σ~\widetilde\sigma as the first times after τ\tau and σ\sigma when ZZ leaves Y1\mathbb{Y}^1 and Y2\mathbb{Y}^2, respectively. Non-zero-sum Dynkin-game conjecture. The four conditions listed in the source—ZTYT0YT3Z_T\in\mathbb{Y}^0_T\cup\mathbb{Y}^3_T; left upper semi-continuity and the limiting conditions on X1,X2X^1,X^2; the stated monotonicity conditions on X1X^1; and the stated post-ρ\rho conditions on X2X^2 or X1X^1 according to whether XρX_\rho lies in Yρ1\mathbb{Y}^1_\rho or Yρ2\mathbb{Y}^2_\rho—are sufficient for existence of a Nash equilibrium. The result would extend the preceding special case, for which the paper states a theorem guaranteeing a Nash equilibrium, but no resolution of this conjecture is supplied.

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Sources & referencesView supporting material

Primary source

Ivan Guo, “On Dynkin Games with Unordered Payoff Processes”, arXiv:2008.06882 (2020).

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