Journal of Applied Mathematics and Stochastic Analysis
Volume 2006 (2006), Article ID 95818, 28 pages
doi:10.1155/JAMSA/2006/95818
Abstract
We show the existence of a solution for the double-barrier
reflected BSDE when the barriers are completely separate and the
generator is continuous with quadratic growth. As an application,
we solve the risk-sensitive mixed zero-sum stochastic differential
game. In addition we deal with recallable options under
Knightian uncertainty.