On a stopping game in continuous time

Erhan Bayraktar; Zhou Zhou

doi:10.1090/proc/12910

On a stopping game in continuous time

Erhan Bayraktar, Zhou Zhou

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

On a filtered probability space (Formula presented), we consider stopper-stopper games (Formula presented) in continuous time, where U(s, t) is F_s_∨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)
Pages (from-to)	3589-3596
Number of pages	8
Journal	Proceedings of the American Mathematical Society
Volume	144
Issue number	8
DOIs	https://doi.org/10.1090/proc/12910
State	Published - 2016

Keywords

A new type of optimal stopping game
Dynkin games
Non-anticipative stopping strategies
Saddle point

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AB - 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.

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KW - Non-anticipative stopping strategies

KW - Saddle point

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On a stopping game in continuous time

Abstract

Keywords

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