BSDEs with two reflecting barriers driven by a Brownian motion and Poisson noise and related Dynkin game

By Said Hamadène, Mohammed Hassani. 2006

48 citations recorded by the source corpus.

In this paper we study BSDEs with two reflecting barriers driven by a Brownian motion and an independent Poisson process. We show the existence and uniqueness of $local$ and global solutions. As an application we solve the related zero-sum Dynkin game.

Subfields: Applied Mathematics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/822b6af5d6c38af6d33491bf1508de8dc868c0bc

How researchers see this paper

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In Applied Mathematics

1. St'ephane Cr'epey
2. Anis Matoussi

In Finance

1. St'ephane Cr'epey
2. Anis Matoussi
3. Damiano Brigo

In Mathematical Physics

1. St'ephane Cr'epey
2. Anis Matoussi

Citations in the corpus

• Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison (2008, background): “The proof of the following proposition, which is essentially contained in earlier results by Hamad`ene and Ouknine [21] and Hamad`ene [ 22 ], is given in Appendix B. By the Mokobodski condition in this proposition, we mean the existence of a quasi-martingale X with Rao components in S2 and such”