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2006 BSDEs with two reflecting barriers driven by a Brownian motion and Poisson noise and related Dynkin game
Said Hamadene, Mohammed Hassani
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Electron. J. Probab. 11: 121-145 (2006). DOI: 10.1214/EJP.v11-303

Abstract

In this paper we study BSDEs with two reflecting barriers driven by a Brownian motion and an independent Poisson process. We show the existence and uniqueness of $local$ and global solutions. As an application we solve the related zero-sum Dynkin game.

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Said Hamadene. Mohammed Hassani. "BSDEs with two reflecting barriers driven by a Brownian motion and Poisson noise and related Dynkin game." Electron. J. Probab. 11 121 - 145, 2006. https://doi.org/10.1214/EJP.v11-303

Information

Accepted: 15 February 2006; Published: 2006
First available in Project Euclid: 31 May 2016

zbMATH: 1184.91038
MathSciNet: MR2217812
Digital Object Identifier: 10.1214/EJP.v11-303

Subjects:
Primary: 91A15
Secondary: 60G40 , 91A60

Keywords: backward stochastic differential equation , Dynkin game , Mokobodzki's condition , Poisson measure

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