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| Main Author: | |
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| Format: | Preprint |
| Published: |
2026
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2602.01944 |
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| _version_ | 1866908805319622656 |
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| author | Le, Nhat-Thang |
| author_facet | Le, Nhat-Thang |
| contents | In this paper, we propose a new efficient algorithm to compute the value function for zero-sum stopping games featuring two players with opposing interests. This can be seen as a game version of the ''forward algorithm'' for (one-player) optimal stopping problem, first introduced by Irle [6] for discrete-time Markov processes and later revisited by Miclo \& Villeneuve [8] for continuous-time Markov processes on general state spaces. This paper focuses on a game driven by a homogeneous Markov process taking values in a finite state space and also discusses about the number of iterations needed. Illustrated computational implementations for a few particular examples are also provided. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2602_01944 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | A forward algorithm for a class of Markov zero-sum stopping games Le, Nhat-Thang Probability In this paper, we propose a new efficient algorithm to compute the value function for zero-sum stopping games featuring two players with opposing interests. This can be seen as a game version of the ''forward algorithm'' for (one-player) optimal stopping problem, first introduced by Irle [6] for discrete-time Markov processes and later revisited by Miclo \& Villeneuve [8] for continuous-time Markov processes on general state spaces. This paper focuses on a game driven by a homogeneous Markov process taking values in a finite state space and also discusses about the number of iterations needed. Illustrated computational implementations for a few particular examples are also provided. |
| title | A forward algorithm for a class of Markov zero-sum stopping games |
| topic | Probability |
| url | https://arxiv.org/abs/2602.01944 |