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

Abstract

We show the existence of a solution for the double-barrier reflected BSDE when the barriers are completely separate and the generator is continuous with quadratic growth. As an application,we solve the risk-sensitive mixed zero-sum stochastic differential game. In addition we deal with recallable options under Knightian uncertainty. Copyright © 2006 S. Hamadène and I. Hdhiri.