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.