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


 
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1. Title Title of document BSDEs with two reflecting barriers driven by a Brownian motion and Poisson noise and related Dynkin game
 
2. Creator Author's name, affiliation, country Said Hamadene; Universite du Maine, France
 
2. Creator Author's name, affiliation, country Mohammed Hassani; Universite du Maine, France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Backward stochastic differential equation ; Poisson measure ; Dynkin game ; Mokobodzki's condition
 
3. Subject Subject classification 91A15, 60G40, 91A60
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2006-02-15
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/303
 
10. Identifier Digital Object Identifier 10.1214/EJP.v11-303
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 11
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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