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BSDEs with two reflecting barriers driven by a Brownian motion and Poisson noise and related Dynkin game

   
@article{EJP303,
	author = {Said Hamadene and Mohammed Hassani},
	title = {BSDEs with two reflecting barriers driven by a Brownian motion and Poisson noise and related Dynkin game},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {11},
	year = {2006},
	keywords = {Backward stochastic differential equation ; Poisson measure ; Dynkin game ; Mokobodzki's condition},
	abstract = {In this paper we study BSDEs with two reflecting barriers driven by a Brownian motion and an independent Poisson process. We show the existence and uniqueness of $local$ and global solutions. As an application we solve the related zero-sum Dynkin game.},
	pages = {no. 5, 121--145},
	issn = {1083-6489},
	doi = {10.1214/EJP.v11-303},    
        url = {http://ejp.ejpecp.org/article/view/303}}