• DocumentCode
    2556803
  • 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
  • fYear
    2008
  • fDate
    2-4 July 2008
  • Firstpage
    1233
  • Lastpage
    1236
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • 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
  • Type

    conf

  • DOI
    10.1109/CCDC.2008.4597511
  • Filename
    4597511
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2556803