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: | Hamadne S., Hdhiri I. |
Keywords: | game theory, growth, differential equations |
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.