Doubly Reflected BSDEs and Ef-Dynkin games: beyond the right-continuous case

Grigorova, M, Imkeller, P, Ouknine, Y et al. (1 more author) (2018) Doubly Reflected BSDEs and Ef-Dynkin games: beyond the right-continuous case. Electronic Journal of Probability, 23 (122). ISSN 1083-6489

Metadata

Authors/Creators:
  • Grigorova, M
  • Imkeller, P
  • Ouknine, Y
  • Quenez, MC
Copyright, Publisher and Additional Information: © 2018, The Author(s). This is an open access article under the terms of the Creative Commons Attribution License (CC-BY 4.0), which permits unrestricted use, distribution and reproduction in any medium, provided the original work is properly cited.
Keywords: Doubly reflected BSDEs; backward stochastic differential equations; Dynkin game; saddle points; f expectation; nonlinear expectation; game option stopping time, stopping system, general filtration, cancellable American option
Dates:
  • Published: 18 December 2018
  • Accepted: 14 September 2018
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Maths and Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 02 Jan 2019 11:57
Last Modified: 16 Mar 2020 14:22
Status: Published
Publisher: The Institute of Mathematical Statistics and the Bernoulli Society
Identification Number: https://doi.org/10.1214/18-EJP225

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