Second-order BSDEs with general reflection and game options under uncertainty

DOI10.1016/j.spa.2014.02.011zbMath1330.60074arXiv1212.0476OpenAlexW2962967574MaRDI QIDQ402477

Dylan Possamaï, Lambert Piozin, Anis Matoussi

Publication date: 28 August 2014

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

Full work available at URL: https://arxiv.org/abs/1212.0476

zbMATH Keywords

Dynkin gamesvolatility uncertaintyreflected backward stochastic differential equationsIsraeli optionsoptimal stopping games

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Backward stochastic differential equations driven by \(G\)-Brownian motion with double reflections ⋮ Wellposedness of second order reflected BSDEs: A new formulation ⋮ Representation of solutions to 2BSDEs in an extended monotonicity setting ⋮ Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle ⋮ A stochastic recursive optimal control problem under the G-expectation framework ⋮ Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ Reflected quadratic BSDEs driven by \(G\)-Brownian motions ⋮ Reflected BSDEs with nonpositive jumps, and controller-and-stopper games ⋮ Optimal stopping under adverse nonlinear expectation and related games ⋮ Optimal Stopping Under Uncertainty in Drift and Jump Intensity ⋮ Arbitrage and duality in nondominated discrete-time models

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