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.

引用

页码：1913 / 1922

页数：10

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