Reflected BSDEs with interconnected bilateral obstacles associated with a zero-sum stochastic multi-modes switching game
1 : Laboratoire Manceau de Mathématiques
Le Mans Université : EA3263
We provide existence of a system of multi-dimensional reflected BSDEs with interconnected bilateral barriers. Getting rid of markovian framework, the penalization approach is applied as the main tool of the proof. Next, the associated zero-sum stochastic games are given as well as a study of the optimal strategy.
| Type : | : | oral |
| Thématiques | : | Probabilités appliquées, math. financières |
| PDF version | : |  PDF version |
