Stopping games with randomized strategies |
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Authors: | Dinah Rosenberg Eilon Solan Nicolas Vieille |
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Institution: | (1) Laboratoire d'Analyse, Géométrie et Applications, Institut Galilée, Université Paris Nord, avenue Jean-Baptiste Clément, 93430 Villetaneuse, France. e-mail: dinah@math.univ-paris13.fr, FR;(2) MEDS Department, Kellogg Graduate School of Management, Northwestern University, 2001 Sheridan Rd., Evanston, IL 60208, USA, and School of Mathematical Sciences, Tel Aviv University, Israel. e-mail: eilons@post.tau.ac.il, US;(3) HEC, Département Economie et Finance, and Laboratoire d'Econométrie de l'Ecole Polytechnique, 1 rue Descartes, 75005 Paris, France. e-mail: vieille@poly.polytechnique.fr, FR |
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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.
Received: 10 May 1999 / Revised version: 18 May 2000 / Published online: 15 February 2001 |
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Keywords: | Mathematics Subject Classification (2000): 60G40 91A15 |
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