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

DOI10.1214/18-EJP225zbMATH Open1406.60060arXiv1704.00625WikidataQ61821374 ScholiaQ61821374MaRDI QIDQ1722018FDOQ1722018

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

Publication date: 14 February 2019

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

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.

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

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zbMATH Keywords

stopping timebackward stochastic differential equationsDynkin gamenonlinear expectationsaddle pointsgeneral filtrationdoubly reflected BSDEsgame option\(f\)-expectationcancellable American optionstopping system

Mathematics Subject Classification ID

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

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Cited In (26)

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• The Dynkin game with regime switching and applications to pricing game options
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