Doubly reflected BSDEs with integrable parameters and related Dynkin games

DOI10.1016/J.SPA.2015.07.007zbMATH Open1325.60085arXiv1412.2053OpenAlexW2963766697MaRDI QIDQ744973FDOQ744973

Song Yao, Erhan Bayraktar

Publication date: 12 October 2015

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

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.

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

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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)

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Cited In (15)

• Non-linear Dynkin games over split stopping times
• Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
• The Dynkin game with regime switching and applications to pricing game options
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