Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating

DOI10.1287/MOOR.11.4.591MaRDI QIDQ3754524zbMATH OpenOpenAlexFDO

Authors Yoshio Ohtsubo

Publication date 1986

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.11.4.591

zbMATH Keywords

stopping timessaddle pointMarkov gamelower and upper valuesStochastic zero-sum games

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60)

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Cited in

(18)

• A stopping game in a stochastic and fuzzy environment.
• Perfect and partial hedging for swing game options in discrete time
• Dynkin game under \(g\)-expectation in continuous time
• Neveu's martingale conditions and closedness in Dynkin stopping problem with a finite constraint
• Game contingent claims in complete and incomplete markets
• On shortfall risk minimization for game options
• Nonzero-sum games of optimal stopping for Markov processes
• Hedging with risk for game options in discrete time
• Equilibrium exit in stochastically declining industries
• Optimal stopping and strong approximation theorems†
• Infinite horizon stopping problems with (nearly) total reward criteria
• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• Dynkin's games and Israeli options
• Numerical scheme for Dynkin games under model uncertainty
• Recombining tree approximations for optimal stopping for diffusions
• Saddle points of discrete Markov zero-sum game with stopping
• Applications of weak convergence for hedging of game options
• Binomial approximations of shortfall risk for game options

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