Doubly reflected BSDEs with integrable parameters and related Dynkin games

DOI10.1016/j.spa.2015.07.007zbMath1325.60085arXiv1412.2053OpenAlexW2963766697MaRDI QIDQ744973

Song Yao, Erhan Bayraktar

Publication date: 12 October 2015

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

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

zbMATH Keywords

penalizationsaddle points\(g\)-expectationDynkin gamesoptimal stopping problemsdoubly reflected backward stochastic differential equations\(g\)-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)

Related Items (13)

Reflected and doubly reflected BSDEs driven by RCLL martingales ⋮ The Dynkin game with regime switching and applications to pricing game options ⋮ Numerical scheme for Dynkin games under model uncertainty ⋮ Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type ⋮ General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general g-supermartingales ⋮ Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games ⋮ Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles ⋮ Ong−evaluations with domains under jump filtration ⋮ Robust portfolio decisions for financial institutions ⋮ Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games ⋮ \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions ⋮ Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space ⋮ Non-linear Dynkin games over split stopping times

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