Dynkin game under ambiguity in continuous time

2011/07/16 by Helin Wu, Wu, Helin
Economics, Econometrics and Finance · Mathematics · #Economic theories and models #FOS: Mathematics #Nonlinear Differential Equations Analysis #Probability (math.PR) #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.1107.3184

arxiv created 2011/07/16 · openalex publication_date 2011/07/16 · arxiv updated 2011/07/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we want to investigate some kind of Dynkin's game under ambiguity which is represented by Backward Stochastic Differential Equation (shortly BSDE) with standard generator function g(t, y, z). Under regular assumptions, a pair of saddle point can be obtained and the existence of the value function follows. The constrained case is also treated in this paper.

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