Related Dynkin games for doubly reflected BSDEs under weak assumptions

Öz

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.

Anahtar Kelimeler

• Doubly reflected backward SDEs, Dynkin game, Mokobodzki’s condition, local solution