Dynkin games in a general framework

Magdalena Kobylanski, Marie-Claire Quenez, Marc Roger de Campagnolle

Published 2012-02-09, updated 2013-08-14Version 3

We revisit the Dynkin game problem in a general framework, improve classical results and relax some assumptions. The criterion is 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, 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.