{"title":"Solving a class of zero-sum stopping game with regime switching","authors":"","doi":"10.1016/j.sysconle.2024.105889","DOIUrl":null,"url":null,"abstract":"<div><p>This paper studies a class of zero-sum stopping game in a regime switching model. A verification theorem as a sufficient criterion for Nash equilibriums is established based on a set of variational inequalities (VIs). Under an appropriate regularity condition for solutions to the VIs, a suitable system of algebraic equations is derived via the so-called smooth-fit principle. Explicit Nash equilibrium stopping rules of threshold-type for the two players and the corresponding value function of the game in closed form are obtained. Numerical experiments are reported to demonstrate the dependence of the threshold levels on various model parameters. A reduction to the case with no regime switching is also presented as a comparison.</p></div>","PeriodicalId":49450,"journal":{"name":"Systems & Control Letters","volume":null,"pages":null},"PeriodicalIF":2.1000,"publicationDate":"2024-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Systems & Control Letters","FirstCategoryId":"94","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0167691124001774","RegionNum":3,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"AUTOMATION & CONTROL SYSTEMS","Score":null,"Total":0}
引用次数: 0
Abstract
This paper studies a class of zero-sum stopping game in a regime switching model. A verification theorem as a sufficient criterion for Nash equilibriums is established based on a set of variational inequalities (VIs). Under an appropriate regularity condition for solutions to the VIs, a suitable system of algebraic equations is derived via the so-called smooth-fit principle. Explicit Nash equilibrium stopping rules of threshold-type for the two players and the corresponding value function of the game in closed form are obtained. Numerical experiments are reported to demonstrate the dependence of the threshold levels on various model parameters. A reduction to the case with no regime switching is also presented as a comparison.
本文研究了制度转换模型中的一类零和停止博弈。基于一组变分不等式(VIs),建立了作为纳什均衡充分标准的验证定理。在 VIs 解的适当正则性条件下,通过所谓的平滑拟合原理推导出一个合适的代数方程系。同时还得到了两个博弈者的阈值型纳什均衡停止规则以及相应的博弈价值函数的闭合形式。报告通过数值实验证明了阈值水平对各种模型参数的依赖性。作为比较,还对没有制度转换的情况进行了还原。
期刊介绍:
Founded in 1981 by two of the pre-eminent control theorists, Roger Brockett and Jan Willems, Systems & Control Letters is one of the leading journals in the field of control theory. The aim of the journal is to allow dissemination of relatively concise but highly original contributions whose high initial quality enables a relatively rapid review process. All aspects of the fields of systems and control are covered, especially mathematically-oriented and theoretical papers that have a clear relevance to engineering, physical and biological sciences, and even economics. Application-oriented papers with sophisticated and rigorous mathematical elements are also welcome.