作者：Dayanik, Savas
作者单位：Princeton University; Princeton University
摘要：We propose a new solution method for optimal stopping problems with random discounting for linear diffusions whose state space has a combination of natural, absorbing, or reflecting boundaries. The method uses a concave characterization of excessive functions for linear diffusions killed at a rate determined by a Markov additive functional and reduces the original problem to an undiscounted optimal stopping problem for a standard Brownian motion. The latter can be solved essentially by inspect...
作者：Einy, Ezra; Haimanko, Ori; Moreno, Diego; Shitovitz, Benyamin
作者单位：Hitotsubashi University; Ben-Gurion University of the Negev; Universidad Carlos III de Madrid; University of Haifa
摘要：We establish uniform continuity of the value for zero-sum games with differential information, when the distance between changing information fields of each player is measured by the Boylan pseudometric. We also show that the optimal strategy correspondence is upper semicontinuous when the information fields of players change ( even with the weak topology on players' strategy sets), and is approximately lower semicontinuous.
