2 papers
math.PR2020
Mean-Field Doubly Reflected Backward Stochastic Differential Equations
Yinggu Chen, Said Hamadene, Tingshu Mu
We study mean-field doubly reflected BSDEs. First, using the fixed point method, we show existence and uniqueness of the solution when the data which define the BSDE are -integr…
math.PR2020
Zero-sum Switching Game, Systems of Reflected Backward SDEs and Parabolic PDEs with bilateral interconnected obstacles
Said Hamadène, Tingshu Mu
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…