ON THE ROBUST DYNKIN GAME

Bayraktar, E; Ya, S

Bayraktar, E (reprint author), Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA.

ANNALS OF APPLIED PROBABILITY, 2017; 27 (3): 1702

Abstract

We analyze a robust version of the Dynkin game over a set P of mutually singular probabilities. We first prove that conservative player's lower and up......

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