Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time

DOI10.1016/J.BULSCI.2012.11.006zbMATH Open1281.60052arXiv1206.3433OpenAlexW2055456708MaRDI QIDQ388138FDOQ388138

Authors: Soufiane Aazizi, Imade Fakhouri 

Publication date: 19 December 2013

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1206.3433

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zbMATH Keywords

backward stochastic differential equationsoblique reflectionoptimal switchingswitching problemunbounded stopping time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Multi-dimensional BSDE with oblique reflection and optimal switching
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• Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle
• Optimal multi-modes switching problem in infinite horizon
• Existence and uniqueness for BSDE with stopping time
• On solutions of a class of infinite horizon FBSDEs

Cited In (11)

• Systems of BSDES with oblique reflection and related optimal switching problems
• \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
• 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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