BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game

S. Hamadène and H. Wang

Stochastic Processes and their Applications, 2009, vol. 119, issue 9, 2881-2912

Abstract: In this paper we study Backward Stochastic Differential Equations with two reflecting right continuous with left limit obstacles (or barriers) when the noise is given by Brownian motion and a mutually independent Poisson random measure. The jumps of the obstacle processes could be either predictable or inaccessible. We show the existence and uniqueness of the solution when the barriers are completely separated and the generator uniformly Lipschitz. We do not assume the existence of a difference of supermartingales between the obstacles. As an application, we show that the related mixed zero-sum differential-integral game problem has a value.

Keywords: Backward; stochastic; differential; equation; Penalization; Mokobodski's; hypothesis; Snell; envelope; Zero-sum; mixed; differential-integral; game (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: BSDEs with two RCLL Reflecting Obstacles driven by a Brownian Motion and Poisson Measure and related Mixed Zero-Sum Games (2008)
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