Exact and approximate Nash equilibria in discounted Markov stopping games with terminal redemption

DOI10.1016/j.jmaa.2015.07.045zbMath1335.91016OpenAlexW991003899MaRDI QIDQ499190

Rolando Cavazos-Cadena, Daniel Hernández-Hernández

Publication date: 30 September 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2015.07.045

zbMATH Keywords

hitting timecontractive operatorequality of the upper and lower value functionsstationary strategyvalue iteration schemezero-sum stopping game

Mathematics Subject Classification ID

2-person games (91A05) Discrete-time games (91A50) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60)

Cites Work

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• Martingale approach to stochastic differential games of control and stopping
• Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
• The controller-and-stopper game for a linear diffusion.
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• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• Optimal Plans for Dynamic Programming Problems
• On some models of many agent systems with competition and cooperation
• ON THE AMERICAN OPTION PROBLEM
• Game approach to the optimal stopping problem†
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