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.
Citation
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
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