An existence theorem for multidimensional BSDEs with mixed reflections

DOI10.1016/J.CRMA.2016.09.015MaRDI QIDQ338066zbMATH OpenOpenAlexFDO

Authors Yuhong Xu

Publication date 3 November 2016

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2016.09.015

zbMATH Keywords

optimal stoppingoptimal switchingreflected backward stochastic differential equationreal optionpricing model

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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Cites work

• A generalized existence theorem of BSDEs
• A generalized existence theorem of reflected BSDEs with double obstacles
• Backward stochastic differential equations with reflection and Dynkin games
• Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Multi-dimensional BSDE with oblique reflection and optimal switching
• On the Starting and Stopping Problem: Application in Reversible Investments
• Optimal switching of one-dimensional reflected BSDEs and associated multidimensional BSDEs with oblique reflection
• Pricing Asset Scheduling Flexibility using Optimal Switching
• Reflected BSDE's with discontinuous barrier and application
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Switching problem and related system of reflected backward SDEs
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Valuation of power plants by utility indifference and numerical computation

Cited in

(5)

• Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
• General existence results for reflected BSDE and BSDE
• A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
• \(L^p\)-solutions of multi-dimensional oblique reflected BSDEs and optimal switching problem on finite or infinite time horizon
• Multi-dimensional BSDEs with mean reflection

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