Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time (Q388138)
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scientific article; zbMATH DE number 6239381
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| English | Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time |
scientific article; zbMATH DE number 6239381 |
Statements
Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time (English)
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19 December 2013
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backward stochastic differential equations
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oblique reflection
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optimal switching
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unbounded stopping time
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switching problem
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0.9365318
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0.93362063
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0.92464054
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0.91574967
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0.9156856
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0.9084341
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0.89583313
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0.89350593
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