Continuous Time Contests with Private Information
研究玩家在私人观察带漂移布朗运动后决定停止时间以争夺最高值的竞赛模型，证明了纳什均衡的存在性与唯一性，并给出了均衡分布的闭式解。
This paper introduces a class of contest models in which each player decides when to stop a privately observed Brownian motion with drift and incurs costs depending on his stopping time. The player who stops his process at the highest value wins a prize. We prove existence and uniqueness of a Nash equilibrium outcome and derive the equilibrium distribution in closed form. As the variance tends to zero, the equilibrium outcome converges to the symmetric equilibrium of an all-pay auction. For two players and constant costs, each player’s equilibrium profit decreases if the drift increases, the variance decreases, or the costs decrease.