On a filtered probability space (Formula presented), we consider stopper-stopper games (Formula presented) in continuous time, where U(s, t) is Fs∨t-measurable (this is the new feature of our stopping game), T is the set of stopping times, and (Formula presented) satisfy certain non-anticipativity conditions. We show that (Formula presented), by converting these problems into a corresponding Dynkin game.
- A new type of optimal stopping game
- Dynkin games
- Non-anticipative stopping strategies
- Saddle point