Dynkin game under ambiguity in continuous time

Details Dynkin game under ambiguity in continuous time Dynkin game under ambiguity in continuous time

2011-07-16

arxiv.org/abs/1107.3184v1

Mathematics

Probability

Scientific paper

In this paper, we want to investigate some kind of Dynkin's game under
ambiguity which is represented by Backward Stochastic Differential Equation
(shortly BSDE) with standard generator function g(t, y, z). Under regular
assumptions, a pair of saddle point can be obtained and the existence of the
value function follows. The constrained case is also treated in this paper.

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