On Zero-Sum Optimal Stopping Games

  • Erhan Bayraktar
  • Zhou Zhou


On a filtered probability space \((\Omega ,\mathcal {F},P,\mathbb {F}=(\mathcal {F}_t)_{t=0,\ldots ,T})\), we consider stopping games \(\overline{V}:=\inf _{{\varvec{\rho }}\in \mathbb {T}^{ii}}\sup _{\tau \in \mathcal {T}}\mathbb {E}[U({\varvec{\rho }}(\tau ),\tau )]\) and \(\underline{V}:=\sup _{{\varvec{\tau }}\in \mathbb {T}^i}\inf _{\rho \in \mathcal {T}}\mathbb {E}[U(\rho ,{\varvec{\tau }}(\rho ))]\) in discrete time, where U(st) is \(\mathcal {F}_{s\vee t}\)-measurable instead of \(\mathcal {F}_{s\wedge t}\)-measurable as is assumed in the literature on Dynkin games, \(\mathcal {T}\) is the set of stopping times, and \(\mathbb {T}^i\) and \(\mathbb {T}^{ii}\) are sets of mappings from \(\mathcal {T}\) to \(\mathcal {T}\) satisfying certain non-anticipativity conditions. We will see in an example that there is no room for stopping strategies in classical Dynkin games unlike the new stopping game we are introducing. We convert the problems into an alternative Dynkin game, and show that \(\overline{V}=\underline{V}=V\), where V is the value of the Dynkin game. We also get optimal \({\varvec{\rho }}\in \mathbb {T}^{ii}\) and \({\varvec{\tau }}\in \mathbb {T}^i\) for \(\overline{V}\) and \(\underline{V}\) respectively.


Loop Strategy American Option Open Loop Control Stochastic Differential Game Exercise Strategy 
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This research was supported in part by the National Science Foundation under grant DMS-1613170.


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© Springer Science+Business Media New York 2017

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of MichiganAnn ArborUSA
  2. 2.IMAUniversity of MinnesotaMinneapolisUSA

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