Title :
Dynkin game and reflected Backward Stochastic Differential Equations
Author :
Bing, Ynag ; Lina, Meng ; Yanrong, Yang
Author_Institution :
Fac. of Appl. Math., Shandong Univ. at Weihai, Weihai
Abstract :
This paper deals with Dynkin game. We establish the connection between Dynkin game with general payoff functions and backward stochastic differential equations with one reflected barrier and prove that Dynkin game admits a value. As an application of the results, we obtain the Belhnan principles for Dynkin game problems.
Keywords :
differential equations; game theory; stochastic processes; Dynkin game; general payoff functions; reflected backward stochastic differential equations; Differential equations; Infinite horizon; Mathematics; Optimal control; Partial differential equations; Pricing; Random variables; Stochastic processes; Sufficient conditions; Viscosity;
Conference_Titel :
Control and Decision Conference, 2008. CCDC 2008. Chinese
Conference_Location :
Yantai, Shandong
Print_ISBN :
978-1-4244-1733-9
Electronic_ISBN :
978-1-4244-1734-6
DOI :
10.1109/CCDC.2008.4597511
