On the value of optimal stopping games
Ekström, Erik ; Villeneuve, Stephane
Ann. Appl. Probab., Tome 16 (2006) no. 1, p. 1576-1596 / Harvested from Project Euclid
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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.
Publié le : 2006-08-14
Classification:  Optimal stopping games,  Dynkin games,  optimal stopping,  Israeli options,  smooth-fit principle,  91A15,  60G40 
@article{1159804992,
     author = {Ekstr\"om, Erik and Villeneuve, Stephane},
     title = {On the value of optimal stopping games},
     journal = {Ann. Appl. Probab.},
     volume = {16},
     number = {1},
     year = {2006},
     pages = { 1576-1596},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1159804992}
}

Ekström, Erik; Villeneuve, Stephane. On the value of optimal stopping games. Ann. Appl. Probab., Tome 16 (2006) no. 1, pp.  1576-1596. http://gdmltest.u-ga.fr/item/1159804992/