Stopping games in continuous time
Optimization and Control
2007-05-23 v1 Probability
Abstract
We study two-player zero-sum stopping games in continuous time and infinite horizon. We prove that the value in randomized stopping times exists as soon as the payoff processes are right-continuous. In particular, as opposed to existing literature, we do not assume any conditions on the relations between the payoff processes. We also show that both players have simple epsilon- optimal randomized stopping times; namely, randomized stopping times which are small perturbations of non-randomized stopping times.
Keywords
Cite
@article{arxiv.math/0306279,
title = {Stopping games in continuous time},
author = {Rida Laraki and Eilon Solan},
journal= {arXiv preprint arXiv:math/0306279},
year = {2007}
}
Comments
21 pages