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On closedness of general zero-sum stopping game. (English) Zbl 0563.60043

The main result of the paper is an elementary proof of the closedness of the Dynkin game for arbitrary bounded, adapted, right continuous processes (i.e. without Mokobodzki’s hypothesis). The same fact has been proved independently by J. P. Lepeltier and M. A. Maingueneau, Stochastics 13, 25-44 (1984; Zbl 0541.60041), with the help of a different approach. Besides that, the paper contains a description of \(\epsilon\)-saddle strategies as well as a proof of convergence of the ”penalized” approximation to the value of the game.
Reviewer: T.Bojdecki

MSC:

60G40 Stopping times; optimal stopping problems; gambling theory

Citations:

Zbl 0541.60041
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