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Stopping Games with Randomized Strategies

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  • Dinah Rosenberg
  • Eilon Solan
  • Nicolas Vieille

Abstract

We study stopping games in the setup of Neveu. We prove the existence of a uniform value (in a sense defined below), by allowing the players to use randomized strategies. In contrast with previous work, we make no comparison assumption on the payoff processes. Moreover, we prove that the value is the limit of discounted values, and we construct e-optimal strategies.

Suggested Citation

  • Dinah Rosenberg & Eilon Solan & Nicolas Vieille, 1999. "Stopping Games with Randomized Strategies," Discussion Papers 1258, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    • Handle: RePEc:nwu:cmsems:1258
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    References listed on IDEAS

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    1. Mertens, Jean-Francois, 2002. "Stochastic games," Handbook of Game Theory with Economic Applications, in: R.J. Aumann & S. Hart (ed.), Handbook of Game Theory with Economic Applications, edition 1, volume 3, chapter 47, pages 1809-1832, Elsevier.
    2. Yasuda, M., 1985. "On a randomized strategy in Neveu's stopping problem," Stochastic Processes and their Applications, Elsevier, vol. 21(1), pages 159-166, December.
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