English

Doubly Reflected BSDEs and ${\cal E}^{f}$-Dynkin games: beyond the right-continuous case

Probability 2018-07-19 v3 Optimization and Control

Abstract

We formulate a notion of doubly reflected BSDE in the case where the barriers ξ\xi and ζ\zeta do not satisfy any regularity assumption and with a general filtration. Under a technical assumption (a Mokobodzki-type condition), we show existence and uniqueness of the solution. In the case where ξ\xi is right upper-semicontinuous and ζ\zeta is right lower-semicontinuous, the solution is characterized in terms of the value of a corresponding Ef\mathcal{E}^f-Dynkin game, i.e. a game problem over stopping times with (non-linear) ff-expectation, where ff 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 \textit{a priori} estimates with universal constants.

Keywords

Cite

@article{arxiv.1704.00625,
  title  = {Doubly Reflected BSDEs and ${\cal E}^{f}$-Dynkin games: beyond the right-continuous case},
  author = {Miryana Grigorova and Peter Imkeller and Youssef Ouknine and Marie-Claire Quenez},
  journal= {arXiv preprint arXiv:1704.00625},
  year   = {2018}
}