Backward stochastic differential equations with reflection and Dynkin games

DOI10.1214/AOP/1041903216zbMATH Open0876.60031OpenAlexW2022420776MaRDI QIDQ674517FDOQ674517

Authors: Jakša Cvitanić, Ioannis Karatzas 

Publication date: 10 November 1997

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1041903216

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zbMATH Keywords

backward stochastic differential equationsoptimal stopping problemsDynkin gamesstochastic barriers

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

Cites Work

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Cited In (only showing first 100 items - show all)

• A Dynkin game under Knightian uncertainty
• Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
• Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
• Second-order BSDEs with general reflection and game options under uncertainty
• Reflected backward stochastic differential equations with time delayed generators
• Reflected BSDE with a constraint and its applications in an incomplete market
• Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
• A generalized existence theorem of reflected BSDEs with double obstacles
• Reflected backward stochastic differential equations in an orthant
• L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations
• Solving the double barrier reflected BSDEs via penalization method
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
• Backward stochastic differential equations with constraints on the gains-process
• Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
• Reflected backward stochastic differential equations with two RCLL barriers
• Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
• The multi-player nonzero-sum Dynkin game in discrete time
• Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps
• Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
• Stochastic recursive zero-sum differential game and mixed zero-sum differential game problem
• Defaultable game options in a hazard process model
• Obliquely reflected backward stochastic differential equations
• On the finite horizon optimal switching problem with random lag
• Switching problems with controlled randomisation and associated obliquely reflected BSDEs
• BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game
• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• Defaultable options in a Markovian intensity model of credit risk
• Backward-forward SDE's and stochastic differential games
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• Nash equilibria of threshold type for two-player nonzero-sum games of stopping
• Reflected BSDE's with discontinuous barrier and time delayed generators
• Stochastic differential games with reflection and related obstacle problems for Isaacs equations
• Two-player nonzero-sum stopping games in discrete time.
• Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty
• Pricing Israeli options: a pathwise approach
• Quadratic BSDEs with mean reflection
• Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
• Doubly reflected BSDEs driven by a Lévy process
• Quadratic mean-field reflected BSDEs
• Anticipated backward stochastic differential equations
• Reflected backward SDEs with two barriers under monotonicity and general increasing conditions
• On the quasi-linear reflected backward stochastic partial differential equations
• A two-mode mean-field optimal switching problem for the full balance sheet
• Backward stochastic variational inequalities on random interval
• Representations and regularities for solutions to BSDEs with reflections
• Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
• Existence and uniqueness for \(\mathbb{D}\)-solutions of reflected BSDEs with two barriers without Mokobodzki's condition
• \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
• BSDEs with monotone generator and two irregular reflecting barriers
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Dynkin's games and Israeli options
• An existence theorem for multidimensional BSDEs with mixed reflections
• Backward stochastic dynamics on a filtered probability space
• Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle
• Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
• Multi-dimensional BSDEs with mean reflection
• Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
• Backward stochastic differential equations with subdifferential operator and related variational inequalities
• Law of large numbers under the nonlinear expectation
• Anticipated Backward Stochastic Differential Equation with Reflection
• Reflected backward SDEs with general jumps
• Reflected BSDEs and mixed game problem
• Martingale approach to stochastic differential games of control and stopping
• Backward stochastic differential equations with two barriers and generalized reflection
• Arbitrage-free pricing of multi-person game claims in discrete time
• Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
• Game approach to the optimal stopping problem†
• Reflected backward stochastic differential equations with two optional barriers
• The finite horizon optimal multi-modes switching problem: the viscosity solution approach
• Discrete time stochastic multi-player competitive games with affine payoffs
• Backward SDEs with two barriers and continuous coefficient: an existence result
• A discrete-time approximation for doubly reflected BSDEs
• A zero-sum competitive multi-player game
• Dynkin Game of Stochastic Differential Equations with Random Coefficients and Associated Backward Stochastic Partial Differential Variational Inequality
• Generalized Snell envelope as a minimal solution of BSDE with lower barriers
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Quasilinear stochastic PDEs with two obstacles: probabilistic approach
• Dynkin games in a general framework
• Dynkin game with asymmetric information
• Endogenous formation of limit order books: dynamics between trades
• Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
• A note on the doubly reflected backward stochastic differential equations driven by a Lévy process
• Quadratic BSDEs with two reflecting barriers and a square integrable terminal value
• Reflected BSDEs with regulated trajectories
• Reflected BSDEs with general filtration and two completely separated barriers
• BSDEs with mean reflection
• Dynkin games with Poisson random intervention times
• Dynkin game of convertible bonds and their optimal strategy
• Nash equilibrium payoffs for stochastic differential games with two reflecting barriers
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• Nonzero-sum games of optimal stopping for Markov processes
• On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
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• Backward stochastic differential equations driven by \(G\)-Brownian motion with double reflections
• Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient
• On solutions to backward stochastic partial differential equations for Lévy processes
• A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis

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