Related Dynkin games for doubly reflected BSDEs under weak assumptions

Year 2016, Volume: 1 Issue: 3, 1 - 4, 01.09.2016

İmen Hassairi

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