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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 discrete-time Dynkin game, in which Player 1 (the leader) commits to a stopping strategy first and Player 2 (the follower) responds optimally. This leader-follower structure induces an optimal control problem for the leader and gives rise to intrinsic time-inconsistency. We first clarify notions of precommitment and equilibrium strategies in the Stackelberg setting, and contrast them with the Nash equilibrium in the standard Dynkin game using a finite-horizon example. We then consider an infinite-horizon framework with a time-homogeneous Markov process on a general Polish state space. We characterize the leader's value function under randomized precommitment strategies and show that randomized exact equilibrium strategies may fail to exist via a counterexample. Motivated by this nonexistence phenomenon, we introduce an entropy-regularized Stackelberg stopping game. The regularization induces a continuous response rule and yields the existence of randomized regular equilibria. We further show that these regular equilibria induce epsilon-equilibria for the original Stackelberg stopping game when the regularization parameter is sufficiently small. In the finite-state setting, we also establish a limiting result as the regularization parameter converges to zero.

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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