Skip to main content
padlock icon - secure page this page is secure

Dynkin games in a general framework

Buy Article:

$60.00 + tax (Refund Policy)

We revisit the Dynkin game problem in a general framework and relax some assumptions. The pay-offs and the criterion are expressed in terms of families of random variables indexed by stopping times. We construct two non-negative supermartingale families J and [Inline formula] whose finiteness is equivalent to the Mokobodski's condition. Under some weak right-regularity assumption on the pay-off families, the game is shown to be fair and [Inline formula] 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.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Article Media
No Metrics

Keywords: 60G40; Dynkin games; optimal stopping; primary; stopping times

Document Type: Research Article

Affiliations: 1: LAMA – UMR 8050, Université Paris Est, Paris, France 2: Laboratoire de Probabilitès et Modèles Aléatoires (L.P.M.A.), Université Denis Diderot, Paris 7/Inria, France 3: Laboratoire de Probabilitès et Modèles Aléatoires (L.P.M.A.), Université Denis Diderot, Paris 7, France

Publication date: March 4, 2014

  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more