On a randomized strategy in Neveu's stopping problem

M. Yasuda

Stochastic Processes and their Applications, 1985, vol. 21, issue 1, 159-166

Abstract: In Neveu's variant of the stopping problem, a randomized strategy is considered in order to relax a condition on values of two stochastic sequences. We shall describe the variant of the problem as a zero sum two person sequential game and show that a solution for a recursive equation of the game value exists. Neveu's condition reduces the equilibrium solution to a Markov time among the class of randomized strategies.

Keywords: optimal; stopping; problem; game; variant; zero; sum; two; person; game; randomized; strategy (search for similar items in EconPapers)
Date: 1985
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Citations: View citations in EconPapers (7)

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