Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski

Abstract

One is given two processes and a payoff function which depends on the processes and on two stopping times T and T'. Two players are to choose their respective stopping times T,T' so as to achieve a saddle-point(Dynkin Game). We prove that if processes are right-continuous the game has always a value, and with an additional assumption on the left-regularity of processes, that the game has a saddle-point.