Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty

DOI10.1016/j.bulsci.2012.02.003zbMath1254.60067MaRDI QIDQ452084

Juliang Yin

Publication date: 19 September 2012

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.bulsci.2012.02.003

zbMATH Keywords

backward stochastic differential equations; Knightian uncertainty; Dynkin game; reflecting barrier

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G40: Stopping times; optimal stopping problems; gambling theory

91A15: Stochastic games, stochastic differential games

Related Items

Numerical scheme for Dynkin games under model uncertainty

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