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Randomized stopping games and Markov market games

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Abstract

We study nonzero-sum stopping games with randomized stopping strategies. The existence of Nash equilibrium and ɛ-equilibrium strategies are discussed under various assumptions on players random payoffs and utility functions dependent on the observed discrete time Markov process. Then we will present a model of a market game in which randomized stopping times are involved. The model is a mixture of a stochastic game and stopping game.

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Authors and Affiliations

  1. Faculty of Mathematics and Information Science, Warsaw University of Technology, Plac Politechniki 1, 00-661, Warsaw, Poland

    Elżbieta Z. Ferenstein

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  1. Elżbieta Z. Ferenstein
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Correspondence to Elżbieta Z. Ferenstein.

Additional information

Research supported by grant PBZ-KBN-016/P03/99.

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Ferenstein, E.Z. Randomized stopping games and Markov market games. Math Meth Oper Res 66, 531–544 (2007). https://doi.org/10.1007/s00186-006-0143-8

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  • DOI: https://doi.org/10.1007/s00186-006-0143-8

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