Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating

DOI10.1287/moor.11.4.591zbMath0617.93052OpenAlexW2043921876MaRDI QIDQ3754524

Yoshio Ohtsubo

Publication date: 1986

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.11.4.591

zbMATH Keywords

saddle pointMarkov gamestopping timeslower and upper valuesStochastic zero-sum games

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60)

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Numerical scheme for Dynkin games under model uncertainty ⋮ Recombining Tree Approximations for Optimal Stopping for Diffusions ⋮ Dynkin game under \(g\)-expectation in continuous time ⋮ Dynkin's games and Israeli options ⋮ Applications of weak convergence for hedging of game options ⋮ PERFECT AND PARTIAL HEDGING FOR SWING GAME OPTIONS IN DISCRETE TIME ⋮ On shortfall risk minimization for game options ⋮ Equilibrium exit in stochastically declining industries ⋮ Binomial approximations of shortfall risk for game options ⋮ Game contingent claims in complete and incomplete markets ⋮ Nonzero-sum games of optimal stopping for Markov processes ⋮ Neveu's martingale conditions and closedness in Dynkin stopping problem with a finite constraint ⋮ Hedging with risk for game options in discrete time ⋮ Optimal stopping and strong approximation theorems† ⋮ A stopping game in a stochastic and fuzzy environment.

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