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 Electronic Journal of Probability > Vol. 11 (2006) > Paper 5 open journal systems 


BSDEs with two reflecting barriers driven by a Brownian motion and Poisson noise and related Dynkin game

Said Hamadene, Universite du Maine, France
Mohammed Hassani, Universite du Maine, France


Abstract
In this paper we study BSDEs with two reflecting barriers driven by a Brownian motion and an independent Poisson process. We show the existence and uniqueness of $local$ and global solutions. As an application we solve the related zero-sum Dynkin game.


Full text: PDF

Pages: 121--145

Published on: February 15, 2006
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Electronic Journal of Probability. ISSN: 1083-6489