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Zero-sum Switching Game, Systems of Reflected Backward SDEs and Parabolic PDEs with bilateral interconnected obstacles

Abstract : In this paper we study a zero-sum switching game and its verification theorems expressed in terms of either a system of Reflected Backward Stochastic Differential Equations (RBSDEs in short) with bilateral interconnected obstacles or a system of parabolic partial differential equations (PDEs in short) with bilateral interconnected obstacles as well. We show that each one of the systems has a unique solution. Then we show that the game has a value.
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https://hal.archives-ouvertes.fr/hal-02883241
Contributor : Said Hamadene <>
Submitted on : Sunday, June 28, 2020 - 10:45:57 PM
Last modification on : Thursday, July 2, 2020 - 3:26:02 AM

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  • HAL Id : hal-02883241, version 1
  • ARXIV : 2006.15883

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Said Hamadène, Tingshu Mu. Zero-sum Switching Game, Systems of Reflected Backward SDEs and Parabolic PDEs with bilateral interconnected obstacles. 2020. ⟨hal-02883241⟩

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