Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections

DOI10.1051/PS/2013036zbMATH Open1304.93079arXiv0903.3372OpenAlexW2032549367MaRDI QIDQ5174352FDOQ5174352

Authors: Romuald Elie, Idris Kharroubi 

Publication date: 17 February 2015

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Abstract: This paper is dedicated to the analysis of backward stochastic differential equations (BSDEs) with jumps, subject to an additional global constraint involving all the components of the solution. We study the existence and uniqueness of a minimal solution for these so-called constrained BSDEs with jumps via a penalization procedure. This new type of BSDE offers a nice and practical unifying framework to the notions of constrained BSDEs presented in [19] and BSDEs with constrained jumps introduced in [14]. More remarkably, the solution of a multidimensional Brownian reflected BSDE studied in [11] and [13] can also be represented via a well chosen one-dimensional constrained BSDE with jumps.This last result is very promising from a numerical point of view for the resolution of high dimensional optimal switching problems and more generally for systems of coupled variational inequalities

Full work available at URL: https://arxiv.org/abs/0903.3372

Recommendations

• Backward SDEs with constrained jumps and quasi-variational inequalities
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• Constrained backward SDEs with jumps and American options
• Backward stochastic differential equations with mean reflection and two constraints
• Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps

zbMATH Keywords

stochastic controlreflected BSDEswitching problemsbackward stochastic differential equations (BSDEs) with jumps

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cited In (14)

• Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
• On a Class of Path-Dependent Singular Stochastic Control Problems
• BSDEs with mean reflection
• Backward SDEs and infinite horizon stochastic optimal control
• Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
• \(\mathbb{L}^{p}\) solutions of reflected backward stochastic differential equations with jumps
• Backward SDEs with constrained jumps and quasi-variational inequalities
• Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
• Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
• Discrete-time approximation of multidimensional BSDEs with oblique reflections
• A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
• Mean-field reflected backward stochastic differential equations
• Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes

This page was built for publication: Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5174352)