Second-order BSDEs with general reflection and game options under uncertainty
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volatility uncertaintyreflected backward stochastic differential equationsDynkin gamesIsraeli optionsoptimal stopping games
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15)
Abstract: The aim of this paper is twofold. First, we extend the results of [33] concerning the existence and uniqueness of second-order reflected 2BSDEs to the case of two obstacles. Under some regularity assumptions on one of the barriers, similar to the ones in [10], and when the two barriers are completely separated, we provide a complete wellposedness theory for doubly reflected second-order BSDEs. We also show that these objects are related to non-standard optimal stopping games, thus generalizing the connection between DRBSDEs and Dynkin games first proved by Cvitanic and Karatzas [11]. More precisely, we show under a technical assumption that the second order DRBSDEs provide solutions of what we call uncertain Dynkin games and that they also allow us to obtain super and subhedging prices for American game options (also called Israeli options) in financial markets with volatility uncertainty
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- A general downcrossing inequality for g-martingales
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- BSDEs and applications
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- Backward stochastic differential equations with reflection and Dynkin games
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- Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
- On pathwise stochastic integration
- Optimal stopping under adverse nonlinear expectation and related games
- Optimal stopping under nonlinear expectation
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- Second order reflected backward stochastic differential equations
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- Stochastic integration and \(L^ p-\)theory of semimartingales
- The obstacle problem for quasilinear stochastic PDE's
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Cited in
(13)- Representation of solutions to 2BSDEs in an extended monotonicity setting
- Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
- Stochastic control for a class of nonlinear kernels and applications
- Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty
- A stochastic recursive optimal control problem under the G-expectation framework
- Backward stochastic differential equations driven by \(G\)-Brownian motion with double reflections
- Arbitrage and duality in nondominated discrete-time models
- Wellposedness of second order reflected BSDEs: A new formulation
- Doubly reflected backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients
- Reflected quadratic BSDEs driven by \(G\)-Brownian motions
- Optimal stopping under adverse nonlinear expectation and related games
- Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
- Optimal stopping under uncertainty in drift and jump intensity
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