Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/201623 
Year of Publication: 
2018
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 598
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
We formulate a notion of doubly reflected BSDE in the case where the barriers xi and zeta do not satisfy any regularity assumption. Under a technical assumption (a Mokobodzki-type condition), we show existence and uniqueness of the solution. In the case where xi is right upper-semicontinuous and zeta is right lower-semicontinuous, the solution is characterized in terms of the value of a corresponding epsilon f-Dynkin game, i.e. a game problem over stopping times with (non-linear) f-expectation, where f is the driver of the doubly reflected BSDE. In the general case where the barriers do not satisfy any regularity assumptions, the solution of the doubly reflected BSDE is related to the value of "an extension" of the previous non-linear game problem over a larger set of "stopping strategies" than the set of stopping times. This characterization is then used to establish a comparison result and a priori estimates with universal constants.
Subjects: 
Doubly reflected BSDEs
backward stochastic differential equations
Dynkin game
saddle points
f-expectation
nonlinear expectation
game option
stopping time
stopping system
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.