On the value of optimal stopping games

Erik Ekstrom; Erik Ekström; Stephane Villeneuve

doi:10.1214/105051606000000204

On the value of optimal stopping games

Erik Ekstrom
, Erik Ekström
, Stephane Villeneuve

Research output: Contribution to journal › Article › peer-review

Abstract

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. © Institute of Mathematical Statistics, 2006.

Original language	English
Pages (from-to)	1576-1596
Number of pages	20
Journal	Annals of Applied Probability
Volume	16
Issue number	3
DOIs	https://doi.org/10.1214/105051606000000204
Publication status	Published - Aug 2006

Keywords

Dynkin games
Israeli options
Optimal stopping
Optimal stopping games
Smooth-fit principle

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10.1214/105051606000000204

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title = "On the value of optimal stopping games",

abstract = "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. {\textcopyright} Institute of Mathematical Statistics, 2006.",

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AU - Villeneuve, Stephane

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AB - 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. © Institute of Mathematical Statistics, 2006.

KW - Dynkin games

KW - Israeli options

KW - Optimal stopping

KW - Optimal stopping games

KW - Smooth-fit principle

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DO - 10.1214/105051606000000204

M3 - Article

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VL - 16

SP - 1576

EP - 1596

JO - Annals of Applied Probability

JF - Annals of Applied Probability

IS - 3

ER -

On the value of optimal stopping games

Abstract

Keywords

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