On the value of optimal stopping games

Citation
Ekström, Erik et Villeneuve, Stephane, On the value of optimal stopping games, Annals of applied probability , 16(3), 2006, pp. 1576-1596
ISSN journal
10505164
Volume
16
Issue
3
Year of publication
2006
Pages
1576 - 1596
Database
ACNP
SICI code
Abstract
We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer. Moreover, conditions are provided under which the existence of an optimal stopping time for the buyer is guaranteed. The results are illustrated explicitly in two examples.