Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations

DOI10.3934/DCDS.2015.35.5447zbMATH Open1332.93377arXiv0806.2058OpenAlexW2963775960MaRDI QIDQ255506FDOQ255506

Authors: Ying Hu, Shanjian Tang 

Publication date: 9 March 2016

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Abstract: 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 reflection by the penalization method, the monotone convergence, and the a priori estimates.

Full work available at URL: https://arxiv.org/abs/0806.2058

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zbMATH Keywords

backward stochastic differential equationsoblique reflectionswitching game

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Dynamic programming in optimal control and differential games (49L20) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

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Cited In (11)

• Switching problem and related system of reflected backward SDEs
• Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
• On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
• Diagonally quadratic BSDE with oblique reflection and optimal switching
• Multi-dimensional BSDE with oblique reflection and optimal switching
• Multidimensional dynamic risk measure via conditional \(g\)-expectation
• Stochastic hybrid differential games and match race problems
• The existence of game value for path-dependent stochastic differential game
• Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications
• A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
• Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type

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