Ekström, Erik and Villeneuve, Stephane (2006) On the Value of Optimal Stopping Games. [MIMS Preprint]
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Abstract
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.
| Item Type: | MIMS Preprint |
|---|---|
| Uncontrolled Keywords: | Stochastic differential games, Dynkin games, optimal stopping, Israeli options, smooth-fit principle. |
| Subjects: | MSC 2010, the AMS's Mathematics Subject Classification > 60 Probability theory and stochastic processes MSC 2010, the AMS's Mathematics Subject Classification > 91 Game theory, economics, social and behavioral sciences |
| Depositing User: | Dr Peter Neal |
| Date Deposited: | 12 May 2006 |
| Last Modified: | 08 Nov 2017 18:18 |
| URI: | https://eprints.maths.manchester.ac.uk/id/eprint/241 |
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