Stopping games in continuous time
From MaRDI portal
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.
This page was built for publication: Stopping games in continuous time
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6472939)
