Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator

[摘要] We show the existence of a solution for the double-barrierreflected BSDE when the barriers are completely separate and thegenerator is continuous with quadratic growth. As an application,we solve the risk-sensitive mixed zero-sum stochastic differentialgame. In addition we deal withrecallableoptions underKnightian uncertainty.

[学科分类] 应用数学