Stopping games with randomized strategies

Stopping games with randomized strategies

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Article ID: iaor20042794
Country: United States
Volume: 119
Issue: 3
Start Page Number: 433
End Page Number: 451
Publication Date: Mar 2001
Journal: Probability Theory and Related Fields
Authors: , ,
Abstract:

We study stopping games in the setup of Neveu. We prove the existence of a uniform value (in a sense defined below), by allowing the players to use randomized strategies. In contrast with previous work, we make no comparison assumption on the payoff-processes. Moreover, we prove that the value is the limit of discounted values, and we construct epsilon-optimal strategies.

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