Stopping games in continuous time

Details Stopping games in continuous time Stopping games in continuous time

2003-06-19

arxiv.org/abs/math/0306279v1

Mathematics

Optimization and Control

21 pages

Scientific paper

We study two-player zero-sum stopping games in continuous time and infinite horizon. We prove that the value in randomized stopping times exists as soon as the payoff processes are right-continuous. In particular, as opposed to existing literature, we do not assume any conditions on the relations between the payoff processes. We also show that both players have simple epsilon- optimal randomized stopping times; namely, randomized stopping times which are small perturbations of non-randomized stopping times.

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