论文标题
带有私人信息的退出游戏
Exit game with private information
论文作者
论文摘要
战略退出的时机是最重要但困难的业务决策之一，尤其是在竞争和不确定性下。在这个问题的激励下，我们研究了一个随机游戏，其中玩家对竞争对手的退出价值不确定。我们为由一维一维扩散驱动的大量回报流构建平衡。在均衡中，玩家采用了涉及状态变量和后信仰过程的复杂出口策略。这些策略是根据问题数据明确指定的，并解决了辅助最佳停止问题的解决方案。我们获得的平衡进一步证明是在对称贝叶斯均衡的广泛亚类中唯一的。
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.
