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A game variant of the stopping problem on jump processes with a monotone rule

By Jun-ichi Nakagami, Masami Kurano and Masami Yasuda

Abstract

A continuous-time version of the multivariate stopping problem is considered. Associated with vector valued jump stochastic processes, stopping problems with a monotone logical rule are defined under the notion of Nash equilibrium point. The existence of an equilibrium strategy and its characterization by integral equations are obtained. Illustrative examples are provided.

Year: 2000
OAI identifier: oai:CiteSeerX.psu:10.1.1.417.8527
Provided by: CiteSeerX
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