On the value of optimal stopping games

Details On the value of optimal stopping games On the value of optimal stopping games

2006-10-10

arxiv.org/abs/math/0610324v1

Annals of Applied Probability 2006, Vol. 16, No. 3, 1576-1596

Mathematics

Probability

Published at http://dx.doi.org/10.1214/105051606000000204 in the Annals of Applied Probability (http://www.imstat.org/aap/) by

Scientific paper

10.1214/105051606000000204

We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer. Moreover, conditions are provided under which the existence of an optimal stopping time for the buyer is guaranteed. The results are illustrated explicitly in two examples.

Affiliated with

Also associated with

No associations

Rating

On the value of optimal stopping games does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On the value of optimal stopping games, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On the value of optimal stopping games will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-438159