BSDE approach for Dynkin game and American game option

DOI10.1007/978-3-319-30417-5_9zbMATH Open1418.91063OpenAlexW2464473880MaRDI QIDQ4558896FDOQ4558896

Authors: E. H. Essaky, M. Hassani 

Publication date: 30 November 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-30417-5_9

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zbMATH Keywords

Dynkin gamesaddle-pointAmerican game optionbackward stochastic differential equations with double reflecting barriers

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) 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

• Nonlinear variational inequalities and differential games with stopping times
• The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
• Sur un problème de dynkin
• Continuous-Time Dynkin Games with Mixed Strategies
• Backward stochastic differential equations with reflection and Dynkin games
• Title not available (Why is that?)
• BSDEs with two reflecting barriers: the general result
• Generalized Dynkin games and doubly reflected BSDEs with jumps
• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Reflected BSDEs and mixed game problem
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• BSDE approach to non-zero-sum stochastic differential games of control and stopping
• Game options
• Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Dynkin games and martingale methods

Cited In (5)

• Second-order BSDEs with general reflection and game options under uncertainty
• The Dynkin game with regime switching and applications to pricing game options
• Generalized Dynkin games and doubly reflected BSDEs with jumps
• Doubly reflected BSDEs with integrable parameters and related Dynkin games
• Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles

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