A harmonic function approach to Nash-equilibria of Kifer-type stopping games

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].

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Year of publication:	2013
Authors:	Lerche, Hans Rudolf ; Stich, Dominik
Published in:	Statistics & Risk Modeling. - Oldenbourg Wissenschaftsverlag GmbH, ISSN 2193-1402, ZDB-ID 2630803-4. - Vol. 30.2013, 2, p. 169-180
Publisher:	Oldenbourg Wissenschaftsverlag GmbH
Subject:	stochastic games \| Israeli options

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Type of publication:	Article
Language:	Undetermined
Other identifiers:	10.1524/strm.2013.1137 [DOI]
Source:	Other ZBW resources

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