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2006.78: On the Value of Optimal Stopping Games

2006.78: Erik Ekström and Stephane Villeneuve (2006) On the Value of Optimal Stopping Games.

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Abstract

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.

Item Type:MIMS Preprint
Uncontrolled Keywords:Stochastic differential games, Dynkin games, optimal stopping, Israeli options, smooth-fit principle.
Subjects:MSC 2000 > 60 Probability theory and stochastic processes
MSC 2000 > 91 Game theory, economics, social and behavioral sciences
MIMS number:2006.78
Deposited By:Dr Peter Neal
Deposited On:12 May 2006

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