Online Auction and Optimal Stopping Game with Imperfect Observation
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The paper examines a multi-stage game-theoretic model of an auction where the participants (players) set minimum threshold price levels above which they are ready to sell. Price offerings are a sequence of independent and identically distributed random variables. A two-person game in which each player is interested in selling at a price higher than the competitor’s is considered. Optimal threshold pricing strategies and expected payoffs of the players are determined. Numerical modeling results are presented.
KeywordsOptimal stopping Imperfect observation Zero-sum game Auction Game with priority
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