Zero-sum stopping games with asymmetric information

Abstract

We study a model of two-player, zero-sum, stopping games with asymmetric information. We assume that the payoff depends on two independent continuous-time Markov chains, where the first Markov chain is only observed by player 1 and the second Markov chain is only observed by player 2, implying that the players have access to stopping times with respect to different filtrations. We show the existence of a value in mixed stopping times and provide a variational characterization for the value as a function of the initial distribution of the Markov chains. We also prove a verification theorem for optimal stopping rules, which allows to construct optimal stopping times. Finally we use our results to solve explicitly two generic examples.