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Contents of PMS, Vol. 19, Fasc. 2,
pages 211 - 234
 

INFINITE HORIZON REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND APPLICATIONS IN MIXED CONTROL AND GAME PROBLEMS

S. Hamadčne
J.-P. Lepeltier
Zhen Wu

Abstract: We prove existence and uniqueness results of the solution for infinite horizon reflected backward stochastic differential equations with one or two barriers. We also apply these results to get the existence of optimal control strategy for the mixed control problem and a saddle-point strategy for the mixed game problem when, in both situations, the horizon is infinite.

1991 AMS Mathematics Subject Classification: 60H10, 93E05, 93E20.

Key words and phrases: Backward stochastic differential equation, Infinite horizon, Reflected barriers, Stochastic optimal control, Stochastic differential game.

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