Multi-dimensional BSDE with oblique reflection and optimal switching
نویسندگان
چکیده
منابع مشابه
Multi-dimensional BSDE with Oblique Reflection and Optimal Switching
In this paper, we study a multi-dimensional backward stochastic differential equation (BSDE) with oblique reflection, which is a BSDE reflected on the boundary of a special unbounded convex domain along an oblique direction, and which arises naturally in the study of optimal switching problem. The existence of the adapted solution is obtained by the penalization method, the monotone convergence...
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15 صفحه اولSwitching Game of Backward Stochastic Differential Equations and Associated System of Obliquely Reflected Backward Stochastic Differential Equations
This paper is concerned with the switching game of a one-dimensional backward stochastic differential equation (BSDE). The associated Bellman-Isaacs equation is a system of matrix-valued BSDEs living in a special unbounded convex domain with reflection on the boundary along an oblique direction. In this paper, we show the existence of an adapted solution to this system of BSDEs with oblique ref...
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ژورنال
عنوان ژورنال: Probability Theory and Related Fields
سال: 2009
ISSN: 0178-8051,1432-2064
DOI: 10.1007/s00440-009-0202-1