BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game

DOI10.1016/j.spa.2009.03.004zbMath1229.60083arXiv0803.1815OpenAlexW2031522168MaRDI QIDQ841484

Hao Wang, Said Hamadène

Publication date: 17 September 2009

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

Full work available at URL: https://arxiv.org/abs/0803.1815

zbMATH Keywords

penalizationbackward stochastic differential equationSnell envelopeMokobodski's hypothesiszero-sum mixed differential-integral game

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15)

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Reflected and doubly reflected BSDEs driven by RCLL martingales ⋮ Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles ⋮ RBSDEs with optional barriers: monotone approximation ⋮ Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient ⋮ Infinite horizon impulse control problem with jumps and continuous switching costs ⋮ Continuous-time zero-sum stochastic game with stopping and control ⋮ Reflected backward stochastic differential equations with jumps in time-dependent random convex domains ⋮ Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration ⋮ Unnamed Item ⋮ Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles ⋮ Dynkin's games and Israeli options ⋮ Reflected and doubly reflected backward stochastic differential equations with time-delayed generators ⋮ Reflected BSDEs with jumps in time-dependent convex càdlàg domains ⋮ Reflected BSDEs on filtered probability spaces ⋮ Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison ⋮ Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games ⋮ Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space ⋮ Reflected BSDEs with general filtration and two completely separated barriers ⋮ L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations

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