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https://doi.org/10.2139/ssrn.5...
Article . 2025 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.48550/ar...
Article . 2025
License: arXiv Non-Exclusive Distribution
Data sources: Datacite
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Stackelberg Stopping Games

Authors: Zhang, Jingjie; Zhou, Zhou;

Stackelberg Stopping Games

Abstract

We study a Stackelberg variant of the classical Dynkin game in discrete time, where the two players are no longer on equal footing. Player 1 (the leader) announces her stopping strategy first, and Player 2 (the follower) responds optimally. This Stackelberg stopping game can be viewed as an optimal control problem for the leader. Our primary focus is on the time-inconsistency that arises from the leader-follower game structure. We begin by using a finite-horizon example to clarify key concepts, including precommitment and equilibrium strategies in the Stackelberg setting, as well as the Nash equilibrium in the standard Dynkin game. We then turn to the infinite-horizon case and study randomized precommitment and equilibrium strategies. We provide a characterization for the leader's value induced by precommitment strategies and show that it may fail to attain the supremum. Moreover, we construct a counterexample to demonstrate that a randomized equilibrium strategy may not exist. Then we introduce an entropy-regularized Stackelberg stopping game, in which the follower's optimization is regularized with an entropy term. This modification yields a continuous best response and ensures the existence of a regular randomized equilibrium strategy, which can be viewed as an approximation of the exact equilibrium.

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Keywords

Optimization and Control (math.OC), Optimization and Control, FOS: Mathematics, 60J28, 60G40, 91A05, 91B02, 91B43

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
Green