Continuous-Time Dynkin Games with Mixed Strategies

Nicolas Vieille () and Nizar Touzi ()

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Abstract: Let (X,Y,Z) be a triple of payoff processes defining a Dynkin game \tilde R(\sigma,\tau) &=& E\left[ X_\sigma\1_{\{\tau > \sigma\}} +Y_\tau \1_{\{\tau

Keywords: optimal stopping; Dynkin games; stochastic analysis; minimax theorem (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (43)

Published in SIAM Journal on Control and Optimization, 2002, Vol.41,n°4, pp.1073-1088. ⟨10.1137/S0363012900369812⟩

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Working Paper: Continuous-Time Dynkin Games with Mixed Strategies (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00465013

DOI: 10.1137/S0363012900369812

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