Generalized Dynkin games and doubly reflected BSDEs with jumps

DOI10.1214/16-EJP4568zbMath1351.93170arXiv1310.2764MaRDI QIDQ728437

Agnès Sulem, Roxana Dumitrescu, Marie-Claire Quenez

Publication date: 20 December 2016

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

Full work available at URL: https://arxiv.org/abs/1310.2764

zbMATH Keywords

Dynkin gamenonlinear expectation\(g\)-evaluationdoubly reflected BSDEsgame optionmixed game problempartial integro-differential variational inequalities

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)

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