Doubly reflected BSDEs with integrable parameters and related Dynkin games

DOI10.1016/j.spa.2015.07.007zbMath1325.60085arXiv1412.2053OpenAlexW2963766697MaRDI QIDQ744973

Song Yao, Erhan Bayraktar

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

penalizationsaddle points\(g\)-expectationDynkin gamesoptimal stopping problemsdoubly reflected backward stochastic differential equations\(g\)-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)

Related Items

Reflected and doubly reflected BSDEs driven by RCLL martingales, The Dynkin game with regime switching and applications to pricing game options, Numerical scheme for Dynkin games under model uncertainty, Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type, 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, Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles, Ong−evaluations with domains under jump filtration, Robust portfolio decisions for financial institutions, Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games, \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions, Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space, Non-linear Dynkin games over split stopping times

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