One-dimensional reflected bsdes with two barriers under logarithmic growth and applications

• Autorzy: El Asri Brahim , Oufdil Khalid , Ourkiya Nacer

Identyfikatory

DOI

10.37190/0208-4147.00067

• Języki publikacji: EN

Abstrakty

EN

We deal with the problem of existence and uniqueness of a solution for one-dimensional reflected backward stochastic differential equations with two strictly separated barriers when the generator has logarithmic growth |y| |ln |y|| + |z|√(|ln |z||) in the state variables y and z. The terminal value ξ and the obstacle processes (L_t)_0≤t≤T and (U_t)_0≤t≤T are L^p-integrable for a suitable p > 2. The main idea is to use the concept of local solution to construct a global one. As applications, we broaden the class of functions for which mixed zero-sum stochastic differential games admit an optimal strategy and the related double-obstacle partial differential equation problem has a unique viscosity solution.

Słowa kluczowe

EN

reflected BSDEs; mixed zero-sum stochastic differential game; penalization; viscosity solution

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2022
• Tom: Vol. 42, Fasc. 2
• Strony: 251--282
• Opis fizyczny: Bobliogr. 20 poz.

Twórcy

autor

El Asri Brahim

• Université Ibn Zohr, Équipe Aide à la Décision ENSA, B.P. 1136, Agadir, Maroc

autor

Oufdil Khalid

• Université Ibn Zohr, Équipe Aide à la Décision ENSA, B.P. 1136, Agadir, Maroc

autor

Ourkiya Nacer

• Université Ibn Zohr, Équipe Aide à la Décision ENSA, B.P. 1136, Agadir, Maroc

Bibliografia

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Uwagi

Opracowanie rekordu ze środków MEiN, umowa nr SONP/SP/546092/2022 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2022-2023).