Double barrier reflected BSDEs with jumps and generalized Dynkin games

Abstract : We study double barrier reflected BSDEs (DBBSDEs) with jumps and RCLL barriers, and their links with generalized Dynkin games. We provide existence and uniqueness results and prove that for any Lipschitz driver, the solution of the DBBSDE coincides with the value function of a game problem, which can be seen as a generalization of the classical Dynkin problem to the case of $g$-conditional expectations. Using this characterization, we prove some new results on DBBSDEs with jumps, such as comparison theorems and a priori estimates. We then study DBBSDEs with jumps and RCLL obstacles in the Markovian case and their links with parabolic partial integro-differential variational inequalities (PIDVI) with two obstacles
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https://hal.inria.fr/hal-00873688
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Submitted on : Wednesday, October 16, 2013 - 11:32:56 AM
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Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem. Double barrier reflected BSDEs with jumps and generalized Dynkin games. [Research Report] RR-8381, INRIA. 2013. ⟨hal-00873688⟩

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