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)

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

• 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
• Reflected BSDE driven by a Lévy process
• Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison
• Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process
• 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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