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- W4383469069 abstract "We consider a continuous time stochastic dynamic game between a stopper (Player $1$, the textit{owner} of an asset yielding an income) and a controller (Player $2$, the textit{manager} of the asset), where the manager is either effective or non-effective. An effective manager can choose to exert low or high 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; where high effort comes at a cost for the manager. The manager earns a salary until the game is stopped by the owner, after which also no income is earned. A non-effective manager cannot act but still receives a salary. For this game we study (Nash) equilibria using stochastic filtering methods; in particular, in equilibrium the manager controls the learning rate (regarding the manager type) of the owner. First, we consider a strong formulation of the game which requires restrictive assumptions for the admissible controls, and find an equilibrium of (double) threshold type. Second, we consider a weak formulation, where a general set of admissible controls is considered. We show that the threshold equilibrium of the strong formulation is also an equilibrium in the weak formulation." @default.
- W4383469069 created "2023-07-07" @default.
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- W4383469069 date "2023-07-04" @default.
- W4383469069 modified "2023-09-25" @default.
- W4383469069 title "A controller-stopper-game with hidden controller type" @default.
- W4383469069 doi "https://doi.org/10.48550/arxiv.2307.01623" @default.
- W4383469069 hasPublicationYear "2023" @default.
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