Randomized Stopping Times in Dynkin Games

Neumann, Peter Horst; Ramsey, David; Szajowski, Krzysztof

doi:10.1002/1521-4001(200211)82:11/12<811::aid-zamm811>3.0.co;2-p

Cited by 13 publications

(9 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…If at some moment both would like to accept the same state, then a random device selects one of them (see [28,51]). Let us recall the mathematical formulation of the problem.…”

Section: Random Priority In Markov Stopping Gamesmentioning

confidence: 99%

See 1 more Smart Citation

Selection of a correlated equilibrium in Markov stopping games

Ramsey

Szajowski

2008

European Journal of Operational Research

View full text Add to dashboard Cite

This paper deals with an extension of the concept of correlated strategies to Markov stopping games. The Nash equilibrium approach to solving nonzero-sum stopping games may give multiple solutions. An arbitrator can suggest to each player the decision to be applied at each stage based on a joint distribution over the players' decisions according to some optimality criterion. This is a form of equilibrium selection. Examples of correlated equilibria in nonzero-sum games related to the best choice problem are given. Several concepts of criteria for selecting a correlated equilibrium are used.

show abstract

“…If at some moment both would like to accept the same state, then a random device selects one of them (see [28,51]). Let us recall the mathematical formulation of the problem.…”

Section: Random Priority In Markov Stopping Gamesmentioning

confidence: 99%

“…Let ðX n ; F n ; P x Þ N n¼0 , N 2 N [ f1g, be a homogeneous Markov process defined on a probability space ðX; F; PÞ with state space ðE; BÞ. The following decision problem was considered by Szajowski [51] and Neumann et al [28]. At each moment n, n 2 {1, 2, .…”

Section: Introductionmentioning

confidence: 99%

Selection of a correlated equilibrium in Markov stopping games

Ramsey

Szajowski

2008

European Journal of Operational Research

View full text Add to dashboard Cite

show abstract

“…Similarly as in consideration by Szajowski (1994) and Neumann et al (2002) the other Nash equilibria can be constructed. There are similarities between the considered model and the asymptotic behavior of Nash equilibria for the non-zero sum game version of the SP with number of objects tending to infinity.…”

Section: Resultsmentioning

confidence: 99%

“…There are similarities between the considered model and the asymptotic behavior of Nash equilibria for the non-zero sum game version of the SP with number of objects tending to infinity. It allows to use the results of Neumann et al (2002) to get the set 8 A c c e p t e d m a n u s c r i p t of all Nash solutions for the game G rp according to the definition 3.1. The optimal stopping problems for choosing non-extremal candidates show similar relations between the asymptotic solution of the finite horizon case and the solution for the poissonian stream of option (see Suchwa lko and Szajowski (2003)).…”

Section: Resultsmentioning

confidence: 99%

A game version of the Cowan–Zabczyk–Bruss’ problem

Szajowski¹

2007

Statistics & Probability Letters

View full text Add to dashboard Cite

To cite this version:Krzysztof Szajowski. A game version of the Cowan-Zabczyk-Bruss' problem. Statistics and Probability Letters, Elsevier, 2009, 77 (17) This is a PDF file of an unedited manuscript that has been accepted for publication. As a service to our customers we are providing this early version of the manuscript. The manuscript will undergo copyediting, typesetting, and review of the resulting galley proof before it is published in its final citable form. Please note that during the production process errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain. A c c e p t e d m a n u s c r i p t AbstractThe paper deal with the continuous-time two person non-zero sum game extension of the no information secretary problem. The objects appear according to the compound Poisson process and each player can choose only one applicant. If both players would like to select the same one, then the priority is assigned randomly. The aim of the players is to choose the best candidate. A construction of Nash equilibria for such game is presented. The extension of the game with randomized stopping times is taken into account. The Nash values for such extension is obtained. Analysis of the solutions for different priority defining lotteries are given.

show abstract

“…The Nash equilibria are obtained in the set of randomized strategies (cf. Neumann et al(2002), Neumann et al(1994)).…”

mentioning

confidence: 99%

On Multilateral Hierarchical Dynamic Decisions

Szajowski

2018

Static &Amp; Dynamic Game Theory: Foundations &Amp; Applications

View full text Add to dashboard Cite

Many decision problems in economics, information technology and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the decision maker's knowledge. The optimal stopping problem formulation is to find a stopping time which maximizes the expected value of the accepted (stopped) random vector's utility.There are natural extensions of optimal stopping problem to stopping gamesthe problem of stopping random vectors by two or more decision makers. Various approaches dependent on the information scheme and the aims of the agents in a considered model. This report unifies a group of non-cooperative stopping game models with forced cooperation by the role of the agents, their aims and aspirations (v. Assaf and Samuel-Cahn(1998), Szajowski and Yasuda(1997)) or extensions of the strategy sets (v. Ramsey and Szajowski (2008)).

show abstract

Randomized Stopping Times in Dynkin Games

Cited by 13 publications

References 0 publications

Selection of a correlated equilibrium in Markov stopping games

Selection of a correlated equilibrium in Markov stopping games

A game version of the Cowan–Zabczyk–Bruss’ problem

On Multilateral Hierarchical Dynamic Decisions

Contact Info

Product

Resources

About