Related Dynkin games for doubly reflected BSDEs under weak assumptions
Journal: Communication in Mathematical Modeling and Applications (Vol.1, No. 3)Publication Date: 2016-11-01
Authors : imen hassairi;
Page : 1-4
Keywords : Doubly reflected backward SDEs Dynkin game Mokobodzki's condition local solution.;
Abstract
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, 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.
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