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Continuous-Time Dynkin Games with Mixed Strategies

Author

Listed:
  • Nicolas Vieille

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

  • Nizar Touzi

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

Suggested Citation

  • Nicolas Vieille & Nizar Touzi, 2002. "Continuous-Time Dynkin Games with Mixed Strategies," Post-Print hal-00465013, HAL.
    • Handle: RePEc:hal:journl:hal-00465013
    DOI: 10.1137/S0363012900369812
    as

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    Keywords

    optimal stopping; Dynkin games; stochastic analysis; minimax theorem;
    All these keywords.

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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