On zero-sum optimal stopping games

Publication date 10 December 2018

Abstract: On a filtered probability space

(O m e g a, m a t h c a l F, P, m a t h b b F = (m a t h c a l F_{t})_{t = 0, d o t s o, T})

, we consider stopper-stopper games

and

in discrete time, where

U (s, t)

is

m a t h c a l F_{s v e e t}

-measurable instead of

m a t h c a l F_{s w e d g e t}

-measurable as is often assumed in the literature,

T

is the set of stopping times, and

and

are sets of mappings from

T

to

T

satisfying certain non-anticipativity conditions. We convert the problems into a corresponding Dynkin game, and show that

o v e r l i n e V = u n d e r l i n e V = V

, where

V

is the value of the Dynkin game. We also get the optimal

and

for

o v e r l i n e V

and

u n d e r l i n e V

respectively.

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