Doubly reflected BSDEs with integrable parameters and related Dynkin games

DOI10.1016/J.SPA.2015.07.007MaRDI QIDQ744973zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, Song Yao

Publication date 12 October 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.2053

zbMATH Keywords

penalizationoptimal stopping problemsdoubly reflected backward stochastic differential equationssaddle points\(g\)-expectationDynkin games\(g\)-evaluation

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)

Abstract: We study a doubly reflected backward stochastic differential equation (BSDE) with integrable parameters and the related Dynkin game. When the lower obstacle $L$ and the upper obstacle $U$ of the equation are completely separated, we construct a unique solution of the doubly reflected BSDE by pasting local solutions and show that the $Y-$component of the unique solution represents the value process of the corresponding Dynkin game under $g-$evaluation, a nonlinear expectation induced by BSDEs with the same generator $g$ as the doubly reflected BSDE concerned. In particular, the first time when process $Y$ meets $L$ and the first time when process $Y$ meets $U$ form a saddle point of the Dynkin game.

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Cited in

(18)

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• The Dynkin game with regime switching and applications to pricing game options
• Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
• Robust portfolio decisions for financial institutions
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• Generalized Dynkin games and doubly reflected BSDEs with jumps
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• Numerical scheme for Dynkin games under model uncertainty
• Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
• On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
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• Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles
• General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general g-supermartingales
• Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games
• [[:Publication:1722018|Doubly reflected BSDEs and \(\mathcal{E} ^Template:F\)-Dynkin games: beyond the right-continuous case]]

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