Stopping games in continuous time

2003/06/19 by Rida Laraki, Laraki, Rida, Eilon Solan +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Auction Theory and Applications #Economic theories and models #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications #math.OC #math.PR

paper · pdf · doi:10.48550/arxiv.math/0306279

21 pages

arxiv created 2003/06/19 · openalex publication_date 2003/06/19 · arxiv updated 2009/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We study two-player zero-sum stopping games in continuous time and infinite horizon. We prove that the value in randomized stopping times exists as soon as the payoff processes are right-continuous. In particular, as opposed to existing literature, we do not assume any conditions on the relations between the payoff processes. We also show that both players have simple epsilon- optimal randomized stopping times; namely, randomized stopping times which are small perturbations of non-randomized stopping times.

Related

• Zero-sum stopping games with asymmetric information
• On a Stopping Game in continuous time
• Two-player nonZero-sum stopping games in discrete time
• Equilibrium in Two-Player Non-Zero-Sum Dynkin Games in Continuous Time
• Non-zero-sum stopping games in discrete time