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Teoriya Veroyatnostei i ee Primeneniya, 1971, Volume 16, Issue 3, Pages 556–562
(Mi tvp2270)
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This article is cited in 8 scientific papers (total in 8 papers)
Short Communications
Optimal stopping in games with continuous time
Yu. I. Kifer Moscow
Abstract:
Let ($\Omega$, $\mathscr F$, $\mathbf P$) be a probability space, $T$ a subset of $[0,\infty)$ such that there exists a countable set $R$, $R\subset T$, and the union of $R$ and the set of all limits from the right over $R$ coincides with $T$. Let $\{\mathscr F_t,\ t\in T\}$ be a non-decreasing and right-continuous in $t$ family of $\sigma$-subalgebras of $\mathscr F$ and $x_t$, $\varphi_t$, $\psi_t$ right-continuous in $t$ $\mathscr F_t$-measurable functions. The process $x_t$ may be stopped by the first player at a moment $t$ if $\varphi_t=1$ and by the second one if $\psi_t=1$. The second player gets from the first one the sum $x_t$ if the process is stopped at time $t$.
Suppose that $\mathbf M(\sup\limits_t|x_t|)<\infty$; then we prove that there exists a $w_t$ such that
(a) $w_t=\overline w_t=\underline w_t$ a.e., $\overline w_t$ and $\underline w_t$ being defined by (1) and (2);
(b) the policies $\eta_\varepsilon^s=\inf\{t\colon t\ge s,\ \varphi_t=1,\ x_t<w_t+\varepsilon\}$ and $\theta_\varepsilon^s=\inf\{t\colon t\ge s,\ \psi_t=1,\ x_t>w_t-\varepsilon\}$ are $\varepsilon$-optimal.
Received: 10.11.1969
Citation:
Yu. I. Kifer, “Optimal stopping in games with continuous time”, Teor. Veroyatnost. i Primenen., 16:3 (1971), 556–562; Theory Probab. Appl., 16:3 (1971), 545–550
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