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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 Department of Statitics and Operation Research, Tel Aviv University
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 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
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https://hal-hec.archives-ouvertes.fr/hal-00465029
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Submitted on : Thursday, March 18, 2010 - 4:26:07 PM
Last modification on : Wednesday, October 27, 2021 - 2:55:33 PM

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HEC | UNIV-PARIS13 | CNRS | PARISTECH | UNIV-PARIS8 | GALILE | UNIV-PARIS-LUMIERES | SORBONNE-PARIS-NORD | LAGA | UNIV-PARIS8-OA

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

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