Reflected BSDEs and mixed game problem

Under smooth assumptions and notably the Isaacs's condition on the Hamiltonian, we prove the existence of a saddle-point for the "mixed" zero-sum stochastic differential game with payoffThe main tool is the notion of double barrier reflected backward SDEs.

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Year of publication:	2000
Authors:	Hamadène, S. ; Lepeltier, J. -P.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 85.2000, 2, p. 177-188
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874229