Zero-sum Switching Game, Systems of Reflected Backward SDEs and Parabolic PDEs with bilateral interconnected obstacles

2020/06/29 by Saïd Hamadène, Hamadène, Said, Tingshu Mu +1
Economics, Econometrics and Finance · Engineering · Mathematics · #FOS: Mathematics #Mathematical Biology Tumor Growth #Probability (math.PR) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2006.15883

openalex publication_date 2020/06/29 · openalex created_date 2020/07/02 · openalex updated_date 2026/07/28

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.

Citations

• Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles

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