Non-linear Dynkin games over split stopping times

Mohamed Marzougue

Statistics & Probability Letters, 2023, vol. 193, issue C

Abstract: In this note, we introduce a new extension of non-linear Dynkin game problem where the payoff is assumed to be completely irregular which requires to formulate the lower and upper value functions of the game over the so-called split stopping times. We provide a characterization of the value of the game in terms of a specific class of doubly reflected backward stochastic differential equations (DRBSDEs).

Keywords: Non-linear Dynkin game; Split stopping times; Doubly reflected backward stochastic differential equations (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2022.109721

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