Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator

Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator

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Article ID: iaor20084774
Country: United States
Volume: 2006
Issue: 95818
Start Page Number: 1
End Page Number: 28
Publication Date: Jan 2006
Journal: Journal of Applied Mathematics and Stochastic Analysis
Authors: ,
Keywords: game theory, growth, differential equations
Abstract:

We show the existence of a solution for the double-barrier reflected BSDE when the barriers are completely separate and the generator is continuous with quadratic growth. As an application, we solve the risk-sensitive mixed zero-sum stochastic differential game. In addition we deal with recallable options under Knightian uncertainty.

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