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Stopping games with randomized strategies

Author

Listed:
  • Dinah Rosenberg

    (LAGA - Laboratoire Analyse, Géométrie et Applications - UP8 - Université Paris 8 Vincennes-Saint-Denis - UP13 - Université Paris 13 - Institut Galilée - CNRS - Centre National de la Recherche Scientifique)

  • Nicolas Vieille

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

  • Eilon Solan

    (TAU - Tel Aviv University)

Abstract
We study stopping games in the setup of Neveu. We prove the existence of a uniform value (in a sense defined below), by allowing the players to use randomized strategies. In constrast with previous work, we make no comparison assumption on the payoff processes. Moreover, we prove that the value is the limit of discounted values, and we construct ε-optimal strategies.

Suggested Citation

  • Dinah Rosenberg & Nicolas Vieille & Eilon Solan, 2001. "Stopping games with randomized strategies," Post-Print hal-00465029, HAL.
    • Handle: RePEc:hal:journl:hal-00465029
    DOI: 10.1007/PL00008766
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    References listed on IDEAS

    as
    1. Mertens, Jean-Francois, 2002. "Stochastic games," Handbook of Game Theory with Economic Applications, in: R.J. Aumann & S. Hart (ed.), Handbook of Game Theory with Economic Applications, edition 1, volume 3, chapter 47, pages 1809-1832, Elsevier.
    2. Yasuda, M., 1985. "On a randomized strategy in Neveu's stopping problem," Stochastic Processes and their Applications, Elsevier, vol. 21(1), pages 159-166, December.
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    Keywords

    Stopping games; randomized strategies;

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