Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty

DOI10.1016/J.BULSCI.2012.02.003zbMATH Open1254.60067OpenAlexW2050433507MaRDI QIDQ452084FDOQ452084

Authors: Juliang Yin 

Publication date: 19 September 2012

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.bulsci.2012.02.003

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zbMATH Keywords

backward stochastic differential equationsDynkin gameKnightian uncertaintyreflecting barrier

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15)

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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• Reflected BSDEs and mixed game problem
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Cited In (7)

• A Dynkin game under Knightian uncertainty
• Second-order BSDEs with general reflection and game options under uncertainty
• Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
• Backward stochastic differential equations with reflection and Dynkin games
• L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations
• Numerical scheme for Dynkin games under model uncertainty
• Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games

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