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<p>In this paper, we present two applications of a class of doubly reflected backward stochastic differential equations driven by a right-continuous with left limits (RCLL) martingale, with two completely separated RCLL barriers and a stochastic Lipschitz driver in a general filtration. The first application relates to game theory, specifically the valuation problem of a Dynkin game. The second concerns the pricing problem of a game-contingent claim (or American game option) in a public financial market, driven by a normal martingale and traded between two investors with additional information about the stock price of a company.</p>

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Applications of Doubly Reflected BSDEs Driven by RCLL Martingales to Dynkin Games and American Game Options

  • 期刊论文

  • 发表日期：

    2025年8月6日

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  • Badr Elmansouri

摘要

In this paper, we present two applications of a class of doubly reflected backward stochastic differential equations driven by a right-continuous with left limits (RCLL) martingale, with two completely separated RCLL barriers and a stochastic Lipschitz driver in a general filtration. The first application relates to game theory, specifically the valuation problem of a Dynkin game. The second concerns the pricing problem of a game-contingent claim (or American game option) in a public financial market, driven by a normal martingale and traded between two investors with additional information about the stock price of a company.