Neveu's martingale conditions and closedness in Dynkin stopping problem with a finite constraint

DOI10.1016/0304-4149(86)90010-4zbMath0614.60041OpenAlexW2078466557MaRDI QIDQ1819816

Yoshio Ohtsubo

Publication date: 1986

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(86)90010-4

zbMATH Keywords

stopping timemartingale conditionexistence of saddle pointsDynkin's gamefinite constraint

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (4)

Explicit optimal value for Dynkin's stopping game ⋮ Dynkin game under \(g\)-expectation in continuous time ⋮ Dynkin's games and Israeli options ⋮ Constrained dynkin's stopping problem with continuous parameter

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating
• Sur un problème de dynkin
• Construction of the Cost and Optimal Policies in a Game Problem of Stopping a Markov Process
• CONTROL OF MARKOV PROCESSES AND $ W$-SPACES
• On optimal stopping rules

This page was built for publication: Neveu's martingale conditions and closedness in Dynkin stopping problem with a finite constraint