Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty

DOI10.1016/j.bulsci.2012.02.003zbMath1254.60067OpenAlexW2050433507MaRDI QIDQ452084

Juliang Yin

Publication date: 19 September 2012

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.bulsci.2012.02.003

zbMATH Keywords

backward stochastic differential equationsKnightian uncertaintyDynkin gamereflecting barrier

Mathematics Subject Classification ID

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

Related Items (1)

Numerical scheme for Dynkin games under model uncertainty

Cites Work

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