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

Said Hamadène; Tingshu Mu

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arXiv · 2006.15883

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

Said Hamadène·Tingshu Mu

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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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BibTeX RIS

Said Hamadène, Tingshu Mu. 2020-06-29. Zero-sum Switching Game, Systems of Reflected Backward SDEs and Parabolic PDEs with bilateral interconnected obstacles. https://arxiv.org/abs/2006.15883

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