Dynkin game and reflected Backward Stochastic Differential Equations

Yang Bing Yang Bing,Yang Yanrong Yang Yanrong,Meng Lina Meng Lina

doi:10.1109/ccdc.2008.4597511

Dynkin game and reflected Backward Stochastic Differential Equations

Yang Bing Yang Bing, Yang Yanrong Yang Yanrong + Show 1 more

https://doi.org/10.1109/ccdc.2008.4597511

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Publication Date: Jul 1, 2008

Citations: 8

Affiliation: Shandong University

#Dynkin Game #Reflected Backward Stochastic Differential Equations + Show 8 more

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Abstract

This paper deals with Dynkin game. We establish the connection between Dynkin game with general payoff functions and backward stochastic differential equations with one reflected barrier and prove that Dynkin game admits a value. As an application of the results, we obtain the Belhnan principles for Dynkin game problems.

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