Doubly Reflected BSDEs and non-linear Dynkin games: beyond right-continuity


We formulate a notion of doubly reflected BSDE in the case where the barriers $\xi$ and $\zeta$ are completely irregular. Under a Mokobodzki-type condition, we show existence and uniqueness of the solution. When $\xi$ is... [ view full abstract ]


  1. Miryana Grigorova (University Bielefeld)
  2. Peter Imkeller (Humboldt-Universität zu Berlin)
  3. Youssef Ouknine (Universite Cadi Ayyad)
  4. Marie-Claire Quenez (Universite Paris-Diderot)

Topic Areas

Backward Stochastic Differential Equations , Game Theory , Optimal Stopping


TH-A-DA » Equilibria, Games and BSDEs (11:30 - Thursday, 19th July, Davis)

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