IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v191y2026ics0304414925002303.html
   My bibliography  Save this article

Mokobodzki’s intervals: An approach to Dynkin games when value process is not a semimartingale

Author

Listed:
  • Klimsiak, Tomasz
  • Rzymowski, Maurycy

Abstract

We study Dynkin games governed by a nonlinear Ef-expectation on a finite interval [0,T], with payoff càdlàg processes L,U of class (D) which are not imposed to satisfy (weak) Mokobodzki’s condition – the existence of a càdlàg semimartingale between the barriers. For that purpose we introduce the notion of Mokobodzki’s stochastic intervals ℳ(θ) (roughly speaking, maximal stochastic interval on which Mokobodzki’s condition is satisfied when starting from the stopping time θ) and the notion of reflected BSDEs without Mokobodzki’s condition. We prove an existence and uniqueness result for RBSDEs with driver f that is non-increasing with respect to the value variable (no restrictions on the growth) and Lipschitz continuous with respect to the control variable, and with data in L1 spaces. Next, we show numerous results on Dynkin games with most notable saying that the game is not played beyond ℳ(θ), when starting from θ.

Suggested Citation

  • Klimsiak, Tomasz & Rzymowski, Maurycy, 2026. "Mokobodzki’s intervals: An approach to Dynkin games when value process is not a semimartingale," Stochastic Processes and their Applications, Elsevier, vol. 191(C).
    • Handle: RePEc:eee:spapps:v:191:y:2026:i:c:s0304414925002303
    DOI: 10.1016/j.spa.2025.104786
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304414925002303
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spa.2025.104786?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:191:y:2026:i:c:s0304414925002303. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.