The value of zero-sum stopping games in continuous time

Rida Laraki; Eilon Solan

doi:10.1137/S0363012903429025

The value of zero-sum stopping games in continuous time

Rida Laraki^*, Eilon Solan

^*Corresponding author for this work

School of Mathematical Sciences

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

46 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	1913-1922
Number of pages	10
Journal	SIAM Journal on Control and Optimization
Volume	43
Issue number	5
DOIs	https://doi.org/10.1137/S0363012903429025
State	Published - 2005

Keywords

Continuous time
Dynkin games
Optimal stopping
Stochastic analysis
Stochastic duels
Stopping games

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10.1137/S0363012903429025

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KW - Dynkin games

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KW - Stochastic duels

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The value of zero-sum stopping games in continuous time

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Keywords

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