Continuous-Time Dynkin Games with Mixed Strategies.

In order to get rid of the condition X<=Y, we introduce an extension of the Dynkin game by allowing for an extended set of strategies, namely the set of mixed strategies. The main result of the paper is that the extended Dynkin game has a value when the processes X and Y are only restricted to be continuous semimartingales.

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Year of publication:	1999
Authors:	Touzi, N. ; Vieille, N.
Institutions:	Centre de recherche de mathématiques et économie mathématique (CERMSEM), Centre d'Économie de la Sorbonne
Subject:	GAMES \| MATHEMATICAL ANALYSIS \| STRATEGIC PLANNING

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Series:	Papiers d'Economie Mathématique et Applications.
Type of publication:	Book / Working Paper
Notes:	19 pages
Classification:	C73 - Stochastic and Dynamic Games
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005630681