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Discrete-time partially observable stopping games with a risk probability criterion

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  • Zhang, Wenzhao
  • Xu, Jinwen
  • Li, Qing

Abstract

This paper investigates discrete-time partially observable stopping games under a risk probability criterion. Within this framework, each player can influence both the transition laws and the termination time. We enlarge the state space by introducing a joint condition of unobservable state and accumulated profit level which characterizes their probabilistic evaluation. Moreover, we employ a backward iteration method to characterize the value of game model. Furthermore, we construct the stopping rules and strategies that constitute a saddle-point equilibrium based on the characterization of the value function.

Suggested Citation

  • Zhang, Wenzhao & Xu, Jinwen & Li, Qing, 2026. "Discrete-time partially observable stopping games with a risk probability criterion," Statistics & Probability Letters, Elsevier, vol. 235(C).
    • Handle: RePEc:eee:stapro:v:235:y:2026:i:c:s016771522600091x
    DOI: 10.1016/j.spl.2026.110727
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