Stopping games in continuous time
最优化与控制
2007-05-23 v1 概率论
摘要
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.
引用
@article{arxiv.math/0306279,
title = {Stopping games in continuous time},
author = {Rida Laraki and Eilon Solan},
journal= {arXiv preprint arXiv:math/0306279},
year = {2007}
}
备注
21 pages