Dynkin games in a general framework

We revisit the Dynkin game problem in a general framework and relax some assumptions. The payoffs and the criterion are expressed in terms of families of random variables indexed by stopping times. We construct two nonnegative supermartingales families $J$ and $J'$ whose finitness is equivalent to the Mokobodski's condition. Under some weak right-regularity assumption on the payoff families, the game is shown to be fair and $J-J'$ is shown to be the common value function. Existence of saddle points is derived under some weak additional assumptions. All the results are written in terms of random variables and are proven by using only classical results of probability theory.

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Source https://hal.science/hal-00795370
Author Kobylanski, Magdalena, Quenez, Marie-Claire, Roger de Campagnolle, Marc
Maintainer CCSD
Last Updated May 10, 2026, 02:47 (UTC)
Created May 10, 2026, 02:47 (UTC)
Identifier hal-00795370
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Laboratoire d'Analyse et de Mathématiques Appliquées (LAMA) ; Université Paris-Est Marne-la-Vallée (UPEM)-Fédération de Recherche Bézout (BEZOUT) ; Centre National de la Recherche Scientifique (CNRS)-Centre National de la Recherche Scientifique (CNRS)-Université Paris-Est Créteil Val-de-Marne - Paris 12 (UPEC UP12)-Centre National de la Recherche Scientifique (CNRS)
creator Kobylanski, Magdalena
date 2011-11-30T00:00:00
harvest_object_id 7ed409fb-cd3a-4f2b-afdd-64c11337d3d8
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2026-04-02T00:00:00
set_spec type:UNDEFINED