scholarly journals Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations

2015 ◽  
Vol 35 (11) ◽  
pp. 5447-5465 ◽  
Author(s):  
Ying Hu ◽  
◽  
Shanjian Tang ◽  
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Backward Stochastic Differential Equations ◽  
Switching Game

scholarly journals A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time

2019 ◽  
Vol 51 (2) ◽  
pp. 425-442
Author(s):  
S. Hamadène ◽  
R. Martyr ◽  
J. Moriarty
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Continuous Time ◽  
Backward Stochastic Differential Equations ◽  
Finite Horizon ◽  
Optimal Switching ◽  
Verification Theorem ◽  
A Value ◽  
Zero Sum ◽  
Switching Game

AbstractIn this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected backward stochastic differential equations with interconnected barriers, we show that this game has a value and an equilibrium in the players’ switching controls.

DISSIPATIVE BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS IN INFINITE DIMENSIONS

2006 ◽  
Vol 09 (01) ◽  
pp. 155-168 ◽  
Author(s):  
FULVIA CONFORTOLA
Keyword(s):  
Partial Differential Equations ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Hilbert Spaces ◽  
Stochastic Partial Differential Equations ◽  
Existence And Uniqueness ◽  
Backward Stochastic Differential Equations ◽  
Uniqueness Result ◽  
Infinite Dimensions ◽  
Partial Differential

We prove an existence and uniqueness result for a class of backward stochastic differential equations (BSDE) with dissipative drift in Hilbert spaces. We also give examples of stochastic partial differential equations which can be solved with our result.

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