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

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.

preprint2020arXivOpen access
Said HamadèneTingshu Mu
math.PR
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Open access2 authors1 topic
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Said HamadèneTingshu Mu

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