Year: 2011
Type: preprint
Abstract: In this paper, we want to investigate some kind of Dynkin's game under ambiguity which is represented by Backward Stochastic Differential Equation (shortly BSDE) with standard generator function g(t, y, z). Under regular assumptions, a pair of saddle point can be obtained and the existence of the value function follows. The constrained case is also treated in this paper.
Source: arXiv (Cornell University)
Author: Wu, Helin
Institution: Shandong University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W186841894