کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155553 958743 2015 37 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
چکیده انگلیسی

We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution are proved by a double penalization approach under regularity assumptions on the obstacle. In a suitable regime switching diffusion framework, we show the connection between our class of BSDEs and fully nonlinear variational inequalities. Our BSDE representation provides in particular a Feynman–Kac type formula for PDEs associated to general zero-sum stochastic differential controller-and-stopper games, where control affects both drift and diffusion term, and the diffusion coefficient can be degenerate. Moreover, we state a dual game formula of this BSDE minimal solution involving equivalent change of probability measures, and discount processes. This gives in particular a new representation for zero-sum stochastic differential controller-and-stopper games.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 2, February 2015, Pages 597–633
نویسندگان
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