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SIAM Journal on Control and Optimization, Vol.43, No.5, 1913-1922, 2005
The value of zero-sum stopping games in continuous time
We study two-player zero-sum stopping games in continuous time and infinite horizon. We prove that the value in randomized stopping times exists as soon as the payoff processes are right-continuous. In particular, as opposed to existing literature, we do not assume any conditions on the relations between the payoff processes.
Keywords:Dynkin games;stopping games;optimal stopping;stochastic analysis;continuous time;stochastic duels