On the value of optimal stopping games

By Erik Ekström, Stéphane Villeneuve. 2006

66 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/1b93e8f59e218c8006b364a4bc553b8c41beedbc

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