The value of zero-sum stopping games in continuous time

被引：39
|
作者：
Laraki, R
Solan, E
机构：
[1] Ecole Polytech, CNRS, F-75005 Paris, France
[2] Ecole Polytech, Lab Econ, F-75005 Paris, France
[3] Northwestern Univ, Kellogg Sch Management, MEDS Dept, Evanston, IL 60208 USA
[4] Tel Aviv Univ, Sch Math Sci, IL-69978 Tel Aviv, Israel
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2005年 / 43卷 / 05期
关键词：
Dynkin games; stopping games; optimal stopping; stochastic analysis; continuous time; stochastic duels;
D O I：
10.1137/S0363012903429025
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
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.
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页码：1913 / 1922
页数：10
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