Article ID: | iaor20091320 |
Country: | India |
Volume: | 29 |
Issue: | 3 |
Start Page Number: | 523 |
End Page Number: | 530 |
Publication Date: | May 2008 |
Journal: | Journal of Information & Optimization Sciences |
Authors: | Makasu Cloud |
In this note we prove that, a two-player, zero-sum Dynkin stopping game connected with a 2-dimensional geometric Brownian motion decomposes into two standard optimal stopping problems with terminal reward costs of the mini and max type respectively, for a given terminal reward cost of the mini–max type, under certain conditions. Our main result supplements and extends the result of Yasuda.