Stopping games with randomized strategies

Dinah Rosenberg (1) , Nicolas Vieille (2) , Eilon Solan (3)

1 LAGA - Laboratoire Analyse, Géométrie et Applications
2 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
3 TAU - Tel Aviv University

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 constrast 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 ε-optimal strategies.

Keywords: Stopping games; randomized strategies

Domains: Humanities and Social Sciences; Economics and Finance; Economy and decision science

Dinah Rosenberg, Nicolas Vieille, Eilon Solan. Stopping games with randomized strategies. Probability Theory and Related Fields, 2001, Vol.119,n°3, pp.433-451. ⟨10.1007/PL00008766⟩. ⟨hal-00465029⟩