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<p>In this paper, we investigate the connection between a class of doubly reflected backward stochastic differential equations, driven by a right continuous with left limits martingale <i>M</i> with two completely separated reflection obstacles, a stochastic Lipschitz driver <i>f</i>, and a generalized Dynkin game, where the game payoff is expressed in terms of a nonlinear expectation <InlineEquation ID="IEq1"> <EquationSource Format="TEX">\(\mathcal {E}^{f,M}\)</EquationSource> </InlineEquation>.</p>

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Generalized Dynkin Games and Doubly Reflected BSDEs Driven by RCLL Martingales

  • 期刊论文

  • 发表日期：

    2025年11月24日

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  • Badr Elmansouri,
  • Mohamed El Otmani

摘要

In this paper, we investigate the connection between a class of doubly reflected backward stochastic differential equations, driven by a right continuous with left limits martingale M with two completely separated reflection obstacles, a stochastic Lipschitz driver f, and a generalized Dynkin game, where the game payoff is expressed in terms of a nonlinear expectation \(\mathcal {E}^{f,M}\) .