Optimal switching, systems of reflected BSDEs and systems of variational inequalities with inter-connected obstacles
zbMATH Open1237.93178MaRDI QIDQ3099666FDOQ3099666
Authors: Said Hamadène 
Publication date: 1 December 2011
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backward stochastic differential equationsoblique reflectionoptimal controlvariational inequalitiesverification theoreminter-connected obstaclesmultiple switching models
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Existence of optimal solutions to problems involving randomness (49J55) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Optimal stochastic control (93E20)
Cited In (8)
- Systems of BSDES with oblique reflection and related optimal switching problems
- Switching problem and related system of reflected backward SDEs
- Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
- Switching problems with controlled randomisation and associated obliquely reflected BSDEs
- Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
- Mean-field optimal multi-modes switching problem: a balance sheet
- BSDE representations for optimal switching problems with controlled volatility
- Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time
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