Published October 1996
| Published
Journal Article
Open
Backward stochastic differential equations with reflection and Dynkin games
- Creators
- Cvitanić, Jakša
- Karatzas, Ioannis
Abstract
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.
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.Attached Files
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Additional details
- Eprint ID
- 29059
- Resolver ID
- CaltechAUTHORS:20120201-094412791
- DAAH 04-95-1-0528
- Army Research Office (ARO)
- Created
-
2012-02-28Created from EPrint's datestamp field
- Updated
-
2021-11-09Created from EPrint's last_modified field
- Other Numbering System Name
- Zentralblatt MATH identifier
- Other Numbering System Identifier
- 0876.60031