ディンキンゲームとその多数回停止モデルへの拡張(<特集>最適タイミングの数理)
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概要
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A problem of optimal stopping of the discrete time Markov process by two decision makers in a competitive situation is considered. We briefly follow Dynkin Game and discuss its extension to a multiple stopping model. The double stopping problem is recalled and then a stopping game with priority for Player 1 and the two stops for Player 2 will be formulated. By using the solution of an auxiliary double stopping problem, our aim is to construct the equilibrium pair in the game. The examples of such decision problems is related to variation of the best choice problem and also is a generalization of the other stopping games.
- 日本応用数理学会の論文
- 2002-09-25
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