Zero-sum Switching Game, Systems of Reflected Backward SDEs and Parabolic PDEs with bilateral interconnected obstacles
Probability
2020-06-30 v1
Abstract
In this paper we study a zero-sum switching game and its verification theorems expressed in terms of either a system of Reflected Backward Stochastic Differential Equations (RBSDEs in short) with bilateral interconnected obstacles or a system of parabolic partial differential equations (PDEs in short) with bilateral interconnected obstacles as well. We show that each one of the systems has a unique solution. Then we show that the game has a value.
Keywords
Cite
@article{arxiv.2006.15883,
title = {Zero-sum Switching Game, Systems of Reflected Backward SDEs and Parabolic PDEs with bilateral interconnected obstacles},
author = {Said Hamadène and Tingshu Mu},
journal= {arXiv preprint arXiv:2006.15883},
year = {2020}
}