Backward Stochastic Differential Equations with Reflection and Dynkin Games


We establish existence and uniqueness results for adapted solutions of backward stochastic differential equations (BSDE’s) with two reflecting barriers, generalizing the work of El Karoui, Kapoudjian, Pardoux, Peng and Quenez. Existence is proved first by solving a related pair of coupled optimal stopping problems, and then, under different conditions, via a penalization method. It is also shown that the solution coincides with the value of a certain Dynkin game, a stochastic game of optimal stopping. Moreover, the connection with the backward SDE enables us to provide a pathwise (deterministic) approach to the game.

Extracted Key Phrases


Citations per Year

66 Citations

Semantic Scholar estimates that this publication has 66 citations based on the available data.

See our FAQ for additional information.

Cite this paper

@inproceedings{GAMESBackwardSD, title={Backward Stochastic Differential Equations with Reflection and Dynkin Games}, author={DYNKIN GAMES and Ioannis Karatzas} }