Article ID: | iaor20084068 |
Country: | Netherlands |
Volume: | 35 |
Issue: | 6 |
Start Page Number: | 799 |
End Page Number: | 804 |
Publication Date: | Nov 2007 |
Journal: | Operations Research Letters |
Authors: | Ghosh Mrinal, Rao K.S. Mallikarjuna |
Keywords: | stochastic processes |
We study a zero-sum stochastic game where each player uses both control and stopping times. Under certain conditions we establish the existence of a saddle point equilibrium, and show that the value function of the game is the unique solution of certain dynamic programming inequalities with bilateral contraints.