On the value of optimal stopping games
成果类型：
Article
署名作者：
Ekstrom, Erik; Villeneuve, Stephane
署名单位：
University of Manchester; Universite PSL; Ecole des Hautes Etudes en Sciences Sociales (EHESS); Universite de Toulouse; Universite Toulouse 1 Capitole; Centre National de la Recherche Scientifique (CNRS)
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/105051606000000204
发表日期：
2006
页码：
1576-1596
关键词：
摘要：
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.