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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorDumitrescu, Roxana
hal.structure.identifierLaboratoire de Probabilités et Modèles Aléatoires [LPMA]
dc.contributor.authorQuenez, Marie-Claire
hal.structure.identifierINRIA Rocquencourt
dc.contributor.authorSulem, Agnès
dc.date.accessioned2018-01-10T14:12:38Z
dc.date.available2018-01-10T14:12:38Z
dc.date.issued2016
dc.identifier.issn1744-2508
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17267
dc.language.isoenen
dc.subjectGeneralized Dynkin gamesen
dc.subjectMarkovian stochastic controlen
dc.subjectmixed stochastic control/Dynkin game with nonlinear expectationen
dc.subjectdoubly reflected BSDEsen
dc.subjectdynamic programming principlesen
dc.subjectgeneralized Hamilton–Jacobi–Bellman variational inequalitiesen
dc.subjectviscosity solutionen
dc.subject.ddc519en
dc.titleMixed generalized Dynkin game and stochastic control in a Markovian frameworken
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe introduce a mixed generalized Dynkin game/stochastic control with E f-expectation in a Markovian framework. We study both the case when the terminal reward function is Borelian only and when it is continuous. By using the characterization of the value function of a generalized Dynkin game via an associated doubly reflected BSDEs (DRBSDE) first provided in [16 ], we obtain that the value function of our problem coincides with the value functionof an optimization problem for DRBSDEs. Using this property, we establish a weak dynamic programming principle by extending some results recently provided in [17 ]. We then show a strong dynamic programming principle in the continuous case, which cannot be derived from the weak one. In particular, we have to prove that the value function of the problem is continuous with respect to time t, which requires some technical tools of stochastic analysis and new results on DRBSDEs. We finally study the links between our mixed problem and generalized Hamilton–Jacobi–Bellman variational inequalities in both cases.en
dc.relation.isversionofjnlnameStochastics
dc.relation.isversionofjnlvol89en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpages400-429en
dc.relation.isversionofdoi10.1080/17442508.2016.1230614en
dc.relation.isversionofjnlpublisherTaylor & Francisen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2018-01-10T13:59:53Z
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