On a stopping game in continuous time

Erhan Bayraktar, Zhou Zhou

    Research output: Contribution to journalArticlepeer-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 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 languageEnglish (US)
    Pages (from-to)3589-3596
    Number of pages8
    JournalProceedings of the American Mathematical Society
    Volume144
    Issue number8
    DOIs
    StatePublished - 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

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