BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game

zbMATH Open1184.91038MaRDI QIDQ850396FDOQ850396

Authors: M. Hassani, Said Hamadène 

Publication date: 3 November 2006

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/116758

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zbMATH Keywords

Dynkin gamePoisson measureMokobodzki's conditionBackward stochastic differential equation

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60)

Cited In (34)

• Doubly reflected generalized BSDEs with jumps and an obstacle problem of parabolic IPDEs with nonlinear Neumann boundary conditions
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• Second-order BSDEs with general reflection and game options under uncertainty
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• Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
• 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
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• BSDE approach for Dynkin game and American game option
• Multi-dimensional backward stochastic differential equations with one reflecting lower barrier of Itô diffusion type
• Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison
• Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes
• Defaultable game options in a hazard process model
• BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game
• Defaultable options in a Markovian intensity model of credit risk
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient
• Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty
• Doubly reflected BSDEs driven by a Lévy process
• Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
• Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
• RBDSDEs with jumps and optional Barrier and mean field game with common noise
• Reflected BSDEs with jumps in time-dependent convex càdlàg domains
• Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration
• Reflected BSDEs on filtered probability spaces
• The mixed zero-sum stochastic differential game in the model with jumps
• A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
• Mean reflected stochastic differential equations with jumps
• Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games
• Reflections on BSDEs
• Solving singular control from optimal switching
• Infinite horizon impulse control problem with jumps and continuous switching costs
• Reflected and doubly reflected backward stochastic differential equations with time-delayed generators
• Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case

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