On the value of optimal stopping games
AbstractWe 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number math/0610324.
Date of creation: Oct 2006
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Publication status: Published in Annals of Applied Probability 2006, Vol. 16, No. 3, 1576-1596
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Web page: http://arxiv.org/
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