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On a randomized strategy in Neveu's stopping problem

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  • Yasuda, M.

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.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:spapps:v:21:y:1985:i:1:p:159-166
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    Citations

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    Cited by:

    1. Ramsey, David M. & Szajowski, Krzysztof, 2008. "Selection of a correlated equilibrium in Markov stopping games," European Journal of Operational Research, Elsevier, vol. 184(1), pages 185-206, January.
    2. Szajowski, Krzysztof, 2007. "A game version of the Cowan-Zabczyk-Bruss' problem," Statistics & Probability Letters, Elsevier, vol. 77(17), pages 1683-1689, November.
    3. Sandroni, Alvaro & Urgun, Can, 2017. "Dynamics in Art of War," Mathematical Social Sciences, Elsevier, vol. 86(C), pages 51-58.
    4. Dinah Rosenberg & Eilon Solan & Nicolas Vieille, 1999. "Stopping Games with Randomized Strategies," Discussion Papers 1258, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    5. Nowak, Andrzej S. & Szajowski, Krzysztof, 1998. "Nonzero-sum Stochastic Games," MPRA Paper 19995, University Library of Munich, Germany, revised 1999.
    6. Tiziano De Angelis & Erik Ekstrom, 2019. "Playing with ghosts in a Dynkin game," Papers 1905.06564, arXiv.org.
    7. Nie, Tianyang & Rutkowski, Marek, 2014. "Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2672-2698.

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