Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator

S. Hamadène and I. Hdhiri

International Journal of Stochastic Analysis, 2006, vol. 2006, 1-28

Abstract:

We show the existence of a solution for the double-barrier reflected BSDE when the barriers are completely separate and the generator is continuous with quadratic growth. As an application, we solve the risk-sensitive mixed zero-sum stochastic differential game. In addition we deal with recallable options under Knightian uncertainty.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:095818

DOI: 10.1155/JAMSA/2006/95818

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