Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case

DOI10.1214/18-EJP225zbMath1406.60060arXiv1704.00625WikidataQ61821374 ScholiaQ61821374MaRDI QIDQ1722018

Youssef Ouknine, Miryana Grigorova, Marie-Claire Quenez, Peter Imkeller

Publication date: 14 February 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.00625

zbMATH Keywords

stopping timebackward stochastic differential equationssaddle pointsDynkin gamenonlinear expectationgeneral filtrationdoubly reflected BSDEsgame option\(f\)-expectationcancellable American optionstopping system

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)

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