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Related Dynkin games for doubly reflected BSDEs under weak assumptions

Journal: Communication in Mathematical Modeling and Applications (Vol.1, No. 3)

Publication Date:

Authors : ;

Page : 1-4

Keywords : Doubly reflected backward SDEs Dynkin game Mokobodzki's condition local solution.;

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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.

Last modified: 2017-01-26 02:01:00