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Dynkin games under progressive enlargement of filtration with random time

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  • Elmansouri, Badr
  • Marzougue, Mohamed
  • El Jamali, Mohamed

Abstract

This paper characterizes and establishes an explicit relationship between the value processes of a class of Dynkin games under the progressive enlargement G of a reference filtration F by a random time τ, which is not necessarily an F-stopping time. We prove that solving the valuation problem in G reduces to solving an associated pricing problem in F.

Suggested Citation

  • Elmansouri, Badr & Marzougue, Mohamed & El Jamali, Mohamed, 2026. "Dynkin games under progressive enlargement of filtration with random time," Statistics & Probability Letters, Elsevier, vol. 233(C).
    • Handle: RePEc:eee:stapro:v:233:y:2026:i:c:s0167715226000507
    DOI: 10.1016/j.spl.2026.110686
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    References listed on IDEAS

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    1. Touzi, N. & Vieille, N., 1999. "Continuous-Time Dynkin Games with Mixed Strategies," Papiers d'Economie Mathématique et Applications 1999.112, Université Panthéon-Sorbonne (Paris 1).
    2. Tahir Choulli & Safa’ Alsheyab, 2024. "The Optimal Stopping Problem under a Random Horizon," Mathematics, MDPI, vol. 12(9), pages 1-15, April.
    3. Badr Elmansouri & Mohamed El Otmani, 2025. "PRICING GAME OPTIONS IN FINANCIAL MARKETS WITH DEFAULT: A DOUBLY REFLECTED BSDEs APPROACH," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 28(03n04), pages 1-31, June.
    4. Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem, 2015. "Game options in an imperfect market with default," Papers 1511.09041, arXiv.org, revised Jul 2017.
    5. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2017. "No-arbitrage up to random horizon for quasi-left-continuous models," Finance and Stochastics, Springer, vol. 21(4), pages 1103-1139, October.
    6. Jeanblanc, Monique & Le Cam, Yann, 2009. "Progressive enlargement of filtrations with initial times," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2523-2543, August.
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