BSDEs with two RCLL Reflecting Obstacles driven by a Brownian Motion and Poisson Measure and related Mixed Zero-Sum Games

S. Hamad\'ene and H. Wang

Papers from arXiv.org

Abstract: In this paper we study Backward Stochastic Differential Equations with two reflecting right continuous with left limits obstacles (or barriers) when the noise is given by Brownian motion and a Poisson random measure mutually independent. The jumps of the obstacle processes could be either predictable or inaccessible. We show 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.

Date: 2008-03
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Journal Article: BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0803.1815

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