Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time
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Abstract: In this paper, we study the solvability of a class of multi-dimensional forward backward stochastic differential equations (FBSDEs) with oblique reflection and unbounded stopping time. Under some mild assumptions on the coefficients in such FBSDE, the existence result of adapted solutions is done via a penalization method. The uniqueness is obtained by a verification theorem similarly to the one used by Hu and Tang cite{HT10}. Finally, we establish the connection with the corresponding optimal switching problem. This latter is solved by using the previous results on FBSDEs.
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Cites work
- scientific article; zbMATH DE number 1341816 (Why is no real title available?)
- Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
- Existence and uniqueness for BSDE with stopping time
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- Pricing Asset Scheduling Flexibility using Optimal Switching
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Cited in
(11)- \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
- Systems of BSDES with oblique reflection and related optimal switching problems
- Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem
- Switching problem and related system of reflected backward SDEs
- Switching problems with controlled randomisation and associated obliquely reflected BSDEs
- Optimal switching of one-dimensional reflected BSDEs and associated multidimensional BSDEs with oblique reflection
- Multi-dimensional BSDE with oblique reflection and optimal switching
- A note on FBSDE characterization of mean exit times
- \(L^p\)-solutions of multi-dimensional oblique reflected BSDEs and optimal switching problem on finite or infinite time horizon
- Reflected BSDEs with jumps in time-dependent convex càdlàg domains
- A balance sheet optimal multi-modes switching problem
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