BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game
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- S. Hamad'ene & H. Wang, 2008. "BSDEs with two RCLL Reflecting Obstacles driven by a Brownian Motion and Poisson Measure and related Mixed Zero-Sum Games," Papers 0803.1815, arXiv.org.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Yuri Kifer, 2012. "Dynkin Games and Israeli Options," Papers 1209.1791, arXiv.org.
- Klimsiak, Tomasz, 2015. "Reflected BSDEs on filtered probability spaces," Stochastic Processes and their Applications, Elsevier, vol. 125(11), pages 4204-4241.
- Fan, Xiliang & Ren, Yong & Zhu, Dongjin, 2010. "A note on the doubly reflected backward stochastic differential equations driven by a Lévy process," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 690-696, April.
More about this item
KeywordsBackward stochastic differential equation Penalization Mokobodski's hypothesis Snell envelope Zero-sum mixed differential-integral game;
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