İmen HASSAİRİ

115147

Related Dynkin games for doubly reflected BSDEs under weak assumptions

Related Dynkin games for doubly reflected BSDEs under weak assumptions

We take the results of existence and uniqueness of the solution for doubly reflected backward stochastic differential equations (BSDEs in short) proved recently by Hassairi in [7], we study its connection with Dynkin games problem under very weak assumptions. We show in the present paper that this differential game have a value function and a saddle point.
Keywords:

Doubly reflected backward SDEs, Dynkin game, Mokobodzki’s condition local solution,

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Communication in Mathematical Modeling and Applications-Cover
  • Başlangıç: 2016
  • Yayıncı: Mustafa BAYRAM
Arşiv
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