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26 papers
Short Communications
Optimal stopped games
Yu. I. Kifer Moscow
Abstract:
Let (
$\Omega$,
$\mathscr F$,
$\mathbf P$) be the probability space, $\mathscr F_0\subseteq\mathscr F_1\subseteq\dots\subseteq\mathscr F_n\subseteq\dots\subseteq\mathscr F$ a nondecreasing sequence of
$\sigma$-algebras. Let random variables
$x_n$,
$\varphi_n$ be
$\mathscr F_n$-measurable (
$n=0,1,\dots$).
The process may be stopped by the 1st player at the
$n$th step if
$\varphi_n>0$, and by the 2nd player if
$\varphi_n<0$. The 2nd player gets from the 1st one the sum
$x_n$ provided the process is stopped on the
$n$th step. The process where the role of
$\varphi_n$ plays
$$
\varphi_n^L=
\begin{cases}
\varphi_n,&\varphi_n>0,
\\
0,&\varphi_\le0,
\end{cases}
$$
is called the minorizing process and the process where the role of
$\varphi_n$ plays
$$
\varphi_n^M=
\begin{cases}
0,&\varphi_\ge0,
\\
\varphi_n,&\varphi_n<0,
\end{cases}
$$
is called the majorizing process. We suppose that
$\mathbf M(\sup\limits_n|x_n|)<\infty$.
We prove that if there exists an optimal policy in the minorizing (majorizing) process, starting at the
$n$th step, then the policy
\begin{gather*}
\sigma^k=\inf\{t\colon t\ge k,\quad\varphi_t>0,\quad x_t\le w_t\}\quad(\tau^k=\inf\{t\colon t\ge k,\quad\varphi_t<0,\quad x_t\ge w_t\})
\\
(k=0,\dots,n)
\end{gather*}
is optimal for the first (second) player in the initial game starting at the
$k$th step. (Here
$w_t$ is the value of the initial game starting at the
$t$th step. The existence of
$w_t$ is proved in [1].)
Received: 25.09.1968