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

DOI10.1016/J.BULSCI.2012.02.003MaRDI QIDQ452084zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Backward stochastic differential equations with reflection and Dynkin games
• Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games
• Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
• Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
• Reflected BSDEs with general filtration and two completely separated barriers

Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 1016795 (Why is no real title available?)
• A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations
• Adapted solution of a backward stochastic differential equation
• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• BSDEs with two reflecting barriers: the general result
• Backward SDEs with two barriers and continuous coefficient: an existence result
• Backward stochastic differential equations with reflection and Dynkin games
• Backward stochastic differential equations with reflection and weak assumptions on the coefficients
• Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
• Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Reflected BSDEs and mixed game problem
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• Reflected backward stochastic differential equation with jumps and random obstacle
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• Representations and regularities for solutions to BSDEs with reflections
• The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles

Cited in

(7)

• A Dynkin game under Knightian uncertainty
• Second-order BSDEs with general reflection and game options under uncertainty
• Backward stochastic differential equations with reflection and Dynkin games
• Non-semimartingale solutions of reflected BSDEs and applications to 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

This page was built for publication: Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q452084)