Doubly reflected BSDEs and E ^f-Dynkin games: beyond the right-continuous case

DOI10.1214/18-EJP225MaRDI QIDQ1722018zbMATH OpenWikidataFDO

Authors Miryana Grigorova, P. Imkeller, Youssef Ouknine, Marie-Claire Quenez

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, https://projecteuclid.org/euclid.ejp/1545102140

zbMATH Keywords

\(f\)-expectationbackward stochastic differential equationscancellable American optiondoubly reflected BSDEsDynkin gamegame optiongeneral filtrationnonlinear expectationsaddle pointsstopping systemstopping time

Mathematics Subject Classification ID

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

Abstract: We formulate a notion of doubly reflected BSDE in the case where the barriers $xi$ and $zeta$ do not satisfy any regularity assumption and with a general filtration. Under a technical assumption (a Mokobodzki-type condition), we show existence and uniqueness of the solution. In the case where $xi$ is right upper-semicontinuous and $zeta$ is right lower-semicontinuous, the solution is characterized in terms of the value of a corresponding $mathcal{E}^f$-Dynkin game, i.e. a game problem over stopping times with (non-linear) $f$-expectation, where $f$ is the driver of the doubly reflected BSDE. In the general case where the barriers do not satisfy any regularity assumptions, the solution of the doubly reflected BSDE is related to the value of an extension of the previous non-linear game problem over a larger set of stopping strategies than the set of stopping times. This characterization is then used to establish a comparison result and extit{a priori} estimates with universal constants.

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Cited in

(41)

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