| 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.