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Backward stochastic differential equations with reflection and Dynkin games

Cvitanić, Jakša and Karatzas, Ioannis (1996) Backward stochastic differential equations with reflection and Dynkin games. Annals of Probability, 24 (4). pp. 2024-2056. ISSN 0091-1798. doi:10.1214/aop/1041903216.

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We establish existence and uniqueness results for adapted solutions of backward stochastic differential equations (BSDE's) with two reflecting barriers, generalizing the work of El Karoui, Kapoudjian, Pardoux, Peng and Quenez. Existence is proved first by solving a related pair of coupled optimal stopping problems, and then, under different conditions, via a penalization method. It is also shown that the solution coincides with the value of a certain Dynkin game, a stochastic game of optimal stopping. Moreover, the connection with the backward SDE enables us to provide a pathwise (deterministic) approach to the game.

Item Type:Article
Related URLs:
URLURL TypeDescription
Cvitanić, Jakša0000-0001-6651-3552
Additional Information:© 1996 Institute of Mathematical Statistics. Received October 1995; revised March 1996. Work supported in part by Army Research Office Grant DAAH 04-95-1-0528.
Funding AgencyGrant Number
Army Research Office (ARO)DAAH 04-95-1-0528
Subject Keywords:backward SDE's; reflecting barriers; Dynkin games; optimal stopping
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Other Numbering System NameOther Numbering System ID
Mathematical Reviews number (MathSciNet)MR1415239
Zentralblatt MATH identifier0876.60031
Issue or Number:4
Classification Code:AMS 1991 subject classifications: Primary 93E05, 60H10; secondary 60G40
Record Number:CaltechAUTHORS:20120201-094412791
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:29059
Deposited By: Tony Diaz
Deposited On:28 Feb 2012 00:03
Last Modified:09 Nov 2021 17:03

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