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

\(g\)-evaluation\(g\)-expectationdoubly reflected backward stochastic differential equationsDynkin gamesoptimal stopping problemspenalizationsaddle points

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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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• Mokobodzki's intervals: an approach to Dynkin games when value process is not a semimartingale
• Generalized Dynkin games and doubly reflected BSDEs with jumps

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