Stopping
Games with Randomized Strategies
Dinah
Rosenberg, Eilon Solan and Nicolas Vieille
Probability
Theory and Related Fields 119, (2001),
433-451.
We study stopping games in the setup of
Neveu. We prove the existence of a uniform value under merely an integrability
condition, by allowing the players to use randomized strategies. In contrast
with previous work, we make no comparison assumption on the payoff processes.
Moreover, we prove that the value is the limit of the discounted
values, and we construct e-optimal strategies.