Generalized Dynkin Games and Doubly Reflected BSDEs with Jumps

Abstract: We introduce a generalized Dynkin game problem with non linear conditional expectation ${\cal E}$ induced by a Backward Stochastic Differential Equation (BSDE) with jumps. Let $\xi, \zeta$ be two RCLL adapted processes with $\xi \leq \zeta$. The criterium is given by \begin{equation*} {\cal J}{\tau, \sigma}= {\cal E}{0, \tau \wedge \sigma } \left(\xi_{\tau}\textbf{1}{{ \tau \leq \sigma}}+\zeta{\sigma}\textbf{1}{{\sigma<\tau}}\right) \end{equation*} where $\tau$ and $ \sigma$ are stopping times valued in $[0,T]$. Under Mokobodski's condition, we establish the existence of a value function for this game, i.e. $\inf{\sigma}\sup_{\tau} {\cal J}{\tau, \sigma} = \sup{\tau} \inf_{\sigma} {\cal J}_{\tau, \sigma}$. This value can be characterized via a doubly reflected BSDE. Using this characterization, we provide some new results on these equations, such as comparison theorems and a priori estimates. When $\xi$ and $\zeta$ are left upper semicontinuous along stopping times, we prove the existence of a saddle point. We also study a generalized mixed game problem when the players have two actions: continuous control and stopping. We then address the generalized Dynkin game in a Markovian framework and its links with parabolic partial integro-differential variational inequalities with two obstacles.