Markovian randomized equilibria for general Markovian Dynkin games in discrete time

Abstract: We study a general formulation of the classical two-player Dynkin game in a Markovian discrete time setting. We show that an appropriate class of mixed, i.e., randomized, strategies in this context are \textit{Markovian randomized stopping times}, which correspond to stopping at any given state with a state-dependent probability. One main result is an explicit characterization of Wald-Bellman type for Nash equilibria based on this notion of randomization. In particular, this provides a novel characterization for randomized equilibria for the zero-sum game, which we use, e.g., to establish a new condition for the existence and construction of pure equilibria, to obtain necessary and sufficient conditions for the non-existence of pure strategy equilibria, and to construct an explicit example with a unique mixed, but no pure equilibrium. We also provide existence and characterization results for the symmetric specification of our game. Finally, we establish existence of a characterizable equilibrium in Markovian randomized stopping times for the general game formulation under the assumption that the state space is countable.