Construction of the Cost and Optimal Policies in a Game Problem of Stopping a Markov Process

DOI10.1137/1121016MaRDI QIDQ4142425zbMATH OpenOpenAlexFDO

Authors N. V. Ehlbakidze

Publication date 1976

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1121016

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited in

(6)

• Dynkin game under \(g\)-expectation in continuous time
• Neveu's martingale conditions and closedness in Dynkin stopping problem with a finite constraint
• On a randomized strategy in Neveu's stopping problem
• Nonzero-sum games of optimal stopping for Markov processes
• Explicit optimal value for Dynkin's stopping game
• Dynkin's games and Israeli options

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