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A controller-stopper-game with hidden controller type
Stockholm University, Faculty of Science, Department of Mathematics.
Stockholm University, Faculty of Science, Department of Mathematics.ORCID iD: 0000-0003-3184-2879
Number of Authors: 22024 (English)In: Stochastic Processes and their Applications, ISSN 0304-4149, E-ISSN 1879-209X, Vol. 173, article id 104361Article in journal (Refereed) Published
Abstract [en]

We consider a continuous time stochastic dynamic game between a stopper (the owner of an asset) and a controller (the manager ) who is either effective or non -effective. An effective manager can exert high or low effort which corresponds to a high or a low positive drift for the accumulated income of the owner with random noise in terms of Brownian motion. The manager earns a salary until the owner stops the game. A non -effective manager cannot act but receives a salary. We find a threshold (Nash) equilibrium using stochastic filtering methods in a weak formulation.

Place, publisher, year, edition, pages
2024. Vol. 173, article id 104361
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:su:diva-231225DOI: 10.1016/j.spa.2024.104361ISI: 001236846900001Scopus ID: 2-s2.0-85191461406OAI: oai:DiVA.org:su-231225DiVA, id: diva2:1872479
Available from: 2024-06-18 Created: 2024-06-18 Last updated: 2024-06-18Bibliographically approved

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Lindensjö, Kristoffer

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