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A harmonic function approach to Nash-equilibria of Kifer-type stopping games
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Hans Rudolf Lerche
Veröffentlicht/Copyright:
27. Juni 2013
Abstract
In this paper we give sufficient conditions for solving two-person zero sum stopping games. These are games where the strategy set of the two players are stopping times of a diffusion X. Our method is based on the study of harmonic functions for the diffusion and it is similar to the approach of solving optimal stopping problems developed in [2]–[4], and [12].
Keywords: stochastic games; Israeli options
Published Online: 2013-06-27
Published in Print: 2013-06
© by Oldenbourg Wissenschaftsverlag, München, Germany
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Artikel in diesem Heft
- Inherent difficulties of non-Bayesian likelihood-based inference, as revealed by an examination of a recent book by Aitkin
- Comments on the review of Statistical Inference
- Loss-based risk measures
- A harmonic function approach to Nash-equilibria of Kifer-type stopping games
- A note on the biasedness and unbiasedness of two-sample Kolmogorov–Smirnov test
Artikel in diesem Heft
- Inherent difficulties of non-Bayesian likelihood-based inference, as revealed by an examination of a recent book by Aitkin
- Comments on the review of Statistical Inference
- Loss-based risk measures
- A harmonic function approach to Nash-equilibria of Kifer-type stopping games
- A note on the biasedness and unbiasedness of two-sample Kolmogorov–Smirnov test
