Related Dynkin games for doubly reflected BSDEs under weak assumptions

İmen Hassairi

EN

Related Dynkin games for doubly reflected BSDEs under weak assumptions

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 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

Details

Primary Language

English

Subjects

-

Journal Section

-

Authors

İmen Hassairi This is me

Publication Date

September 1, 2016

Submission Date

September 1, 2016

Acceptance Date

-

Published in Issue

Year 2016 Volume: 1 Number: 3

IZ

https://izlik.org/JA54AK88AP

Cite

RIS / Bibtex

APA

Hassairi, İ. (2016). Related Dynkin games for doubly reflected BSDEs under weak assumptions. Communication in Mathematical Modeling and Applications, 1(3), 1-4. https://izlik.org/JA54AK88AP

AMA

1.Hassairi İ. Related Dynkin games for doubly reflected BSDEs under weak assumptions. CMMA. 2016;1(3):1-4. https://izlik.org/JA54AK88AP

Chicago

Hassairi, İmen. 2016. “Related Dynkin Games for Doubly Reflected BSDEs under Weak Assumptions”. Communication in Mathematical Modeling and Applications 1 (3): 1-4. https://izlik.org/JA54AK88AP.

EndNote

Hassairi İ (September 1, 2016) Related Dynkin games for doubly reflected BSDEs under weak assumptions. Communication in Mathematical Modeling and Applications 1 3 1–4.

IEEE

[1]İ. Hassairi, “Related Dynkin games for doubly reflected BSDEs under weak assumptions”, CMMA, vol. 1, no. 3, pp. 1–4, Sept. 2016, [Online]. Available: https://izlik.org/JA54AK88AP

ISNAD

Hassairi, İmen. “Related Dynkin Games for Doubly Reflected BSDEs under Weak Assumptions”. Communication in Mathematical Modeling and Applications 1/3 (September 1, 2016): 1-4. https://izlik.org/JA54AK88AP.

JAMA

1.Hassairi İ. Related Dynkin games for doubly reflected BSDEs under weak assumptions. CMMA. 2016;1:1–4.

MLA

Hassairi, İmen. “Related Dynkin Games for Doubly Reflected BSDEs under Weak Assumptions”. Communication in Mathematical Modeling and Applications, vol. 1, no. 3, Sept. 2016, pp. 1-4, https://izlik.org/JA54AK88AP.

Vancouver

1.İmen Hassairi. Related Dynkin games for doubly reflected BSDEs under weak assumptions. CMMA [Internet]. 2016 Sep. 1;1(3):1-4. Available from: https://izlik.org/JA54AK88AP