On the value of optimal stopping games
Probability
2016-08-16 v1 Computational Finance
Abstract
We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer. Moreover, conditions are provided under which the existence of an optimal stopping time for the buyer is guaranteed. The results are illustrated explicitly in two examples.
Cite
@article{arxiv.math/0610324,
title = {On the value of optimal stopping games},
author = {Erik Ekström and Stephane Villeneuve},
journal= {arXiv preprint arXiv:math/0610324},
year = {2016}
}
Comments
Published at http://dx.doi.org/10.1214/105051606000000204 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)