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Journal of Applied Mathematics and Stochastic Analysis
Volume 2006 (2006), Article ID 95818, 28 pages

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

Laboratoire de Statistique et Processus, Université du Maine, Le Mans Cedex 9, 72085, France

Received 29 July 2004; Revised 25 January 2005; Accepted 25 January 2005

Copyright © 2006 S. Hamadène and I. Hdhiri. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


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.