英文标题：
《Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin
Games》
---
作者：
Erhan Bayraktar and Song Yao
---
最新提交年份：
2015
---
英文摘要：
We study a doubly reflected backward stochastic differential equation (BSDE) with integrable parameters and the related Dynkin game. When the lower obstacle $L$ and the upper obstacle $U$ of the equation are completely separated, we construct a unique solution of the doubly reflected BSDE by pasting local solutions and show that the $Y-$component of the unique solution represents the value process of the corresponding Dynkin game under $g-$evaluation, a nonlinear expectation induced by BSDEs with the same generator $g$ as the doubly reflected BSDE concerned. In particular, the first time when process $Y $ meets $L$ and the first time when process $Y $ meets $U$ form a saddle point of the Dynkin game.
---
中文摘要：
研究了一类具有可积参数的双反射倒向随机微分方程及其相关的Dynkin对策。当方程的下障碍$L$和上障碍$U$完全分离时，我们通过粘贴局部解构造了双反射BSDE的唯一解，并证明了唯一解的$Y-$分量代表了相应Dynkin对策在$g-$评估下的价值过程，由BSDE引起的非线性期望，其生成器$g$与相关的双反射BSDE相同。特别是，当进程$Y$第一次遇到$L$时，以及进程$Y$第一次遇到$U$时，形成了Dynkin博弈的鞍点。
---
分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--
一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
--
一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->