SIAM Journal on Control and Optimization, Vol.45, No.2, 496-518, 2006
Mixed zero-sum stochastic differential game and American game options
In this paper we solve the mixed zero-sum stochastic differential game problem in the general case. The main tool is the notion of a local solution of backward stochastic differential equations (BSDEs) with two reflecting barriers. As an application we deal with the American game options.
Keywords:mixed zero-sum stochastic differential game;re. ected backward SDEs;Dynkin games;American game options