Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games

DOI10.1016/j.spa.2020.12.008zbMath1469.60123arXiv1804.10880OpenAlexW3122576670MaRDI QIDQ2021394

Tomasz Klimsiak

Publication date: 27 April 2021

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

Full work available at URL: https://arxiv.org/abs/1804.10880

zbMATH Keywords

Dynkin gamesreflected backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15)

Related Items (3)

Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games ⋮ Unnamed Item ⋮ Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• BSDEs with monotone generator and two irregular reflecting barriers
• Reflected BSDEs with monotone generator
• Stochastic representation of entropy solutions of semilinear elliptic obstacle problems with measure data
• Reflected BSDEs on filtered probability spaces
• Zero-sum Markov games with stopping and impulsive strategies
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• Backward stochastic differential equations with reflection and Dynkin games
• \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition
• Generalized Dynkin games and doubly reflected BSDEs with jumps
• Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
• Doubly reflected BSDEs with integrable parameters and related Dynkin games
• Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
• BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game
• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• Reflected BSDEs and mixed game problem
• Obstacle problem for evolution equations involving measure data and operator corresponding to semi-Dirichlet form
• Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
• Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case
• BSDEs with two reflecting barriers: the general result
• Obstacle problem for semilinear parabolic equations with measure data
• Cauchy problem for semilinear parabolic equation with time-dependent obstacles: a BSDEs approach
• Reflected BSDEs with regulated trajectories
• Systems of quasi-variational inequalities related to the switching problem
• Dirichlet forms and semilinear elliptic equations with measure data
• Reflected Backward SDEs with General Jumps
• Penalty Method for Finite Horizon Stopping Problems
• L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Dynkin games and martingale methods
• Strong envelopes of stochastic processes and a penalty method^†
• Sur un problème de dynkin
• [https://portal.mardi4nfdi.de/wiki/Publication:4162232 Contr�le de processus alternants et applications]
• Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
• Reflected BSDEs with general filtration and two completely separated barriers
• Nash Equilibrium Payoffs for Stochastic Differential Games with two Reflecting Barriers
• Dynkin games in a general framework

This page was built for publication: Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games