Mathematics – Probability
Scientific paper
2008-05-19
Mathematics
Probability
34 pages
Scientific paper
In this paper we study the existence of a solution for one-dimensional generalized backward stochastic differential equation (GBSDE for short) with two reflecting barriers under weak assumptions on the coefficients. In particular, we construct a maximal solution for such a GBSDE when the terminal condition \xi is only F_T-measurable and the driver f is continuous with general growth with respect to the variable y and stochastic quadratic growth with respect to the variable z without assuming any P-integrability conditions. The proof of our main result is based on a comparisontheorem, an exponential change and an approximation technique. Finally, we give applications of our result to the Dynkin game problem as well as to the American game option. We prove the existence of a saddle-point for this game under weaker conditions in a general setting.
Essaky E. H.
Hassani Mehdi
No associations
LandOfFree
Generalized BSDE With 2-Reflecting Barriers and Stochastic Quadratic Growth. Application to Dynkin Games does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Generalized BSDE With 2-Reflecting Barriers and Stochastic Quadratic Growth. Application to Dynkin Games, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Generalized BSDE With 2-Reflecting Barriers and Stochastic Quadratic Growth. Application to Dynkin Games will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-299533