Abstract
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.
Original language | English (US) |
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Pages (from-to) | 3589-3596 |
Number of pages | 8 |
Journal | Proceedings of the American Mathematical Society |
Volume | 144 |
Issue number | 8 |
DOIs | |
State | Published - 2016 |
Bibliographical note
Publisher Copyright:© 2016 American Mathematical Society.
Keywords
- A new type of optimal stopping game
- Dynkin games
- Non-anticipative stopping strategies
- Saddle point