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Non-linear Dynkin games over split stopping times

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  • Marzougue, Mohamed

Abstract

In this note, we introduce a new extension of non-linear Dynkin game problem where the payoff is assumed to be completely irregular which requires to formulate the lower and upper value functions of the game over the so-called split stopping times. We provide a characterization of the value of the game in terms of a specific class of doubly reflected backward stochastic differential equations (DRBSDEs).

Suggested Citation

  • Marzougue, Mohamed, 2023. "Non-linear Dynkin games over split stopping times," Statistics & Probability Letters, Elsevier, vol. 193(C).
    • Handle: RePEc:eee:stapro:v:193:y:2023:i:c:s0167715222002346
    DOI: 10.1016/j.spl.2022.109721
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    References listed on IDEAS

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    1. Miryana Grigorova & Peter Imkeller & Youssef Ouknine & Marie-Claire Quenez, 2020. "Optimal stopping with f -expectations: the irregular case," Post-Print hal-01403616, HAL.
    2. Marzougue, Mohamed, 2021. "Monotonic limit theorem for BSDEs with regulated trajectories," Statistics & Probability Letters, Elsevier, vol. 176(C).
    3. Bayraktar, Erhan & Yao, Song, 2015. "Doubly reflected BSDEs with integrable parameters and related Dynkin games," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4489-4542.
    4. Marzougue, Mohamed, 2020. "A note on optional Snell envelopes and reflected backward SDEs," Statistics & Probability Letters, Elsevier, vol. 165(C).
    5. Grigorova, Miryana & Imkeller, Peter & Ouknine, Youssef & Quenez, Marie-Claire, 2020. "Optimal stopping with f-expectations: The irregular case," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1258-1288.
    6. Siyu Lv & Zhen Wu & Qing Zhang, 2022. "The Dynkin game with regime switching and applications to pricing game options," Annals of Operations Research, Springer, vol. 313(2), pages 1159-1182, June.
    Full references (including those not matched with items on IDEAS)

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