Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient

DOI10.1016/j.spa.2005.02.005zbMath1085.60025OpenAlexW2072622079MaRDI QIDQ2485475

Brahim Mezerdi, Said Hamadène, Khaled Bahlali

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.spa.2005.02.005

zbMATH Keywords

Risk-sensitive zero-sum stopping game

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

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