Reflected BSDEs and mixed game problem

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Publication:1613587

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DOI10.1016/S0304-4149(99)00072-1zbMath0999.91005OpenAlexW1969944159MaRDI QIDQ1613587

Jean-Pierre Lepeltier, Said Hamadène

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00072-1

zbMATH Keywords

saddle-point backward stochastic differential equation mixed game problem right continuous processes zero-sum stochastic differential game with payoff

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60)

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