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

DOI10.1051/ps/2013036zbMath1304.93079arXiv0903.3372MaRDI QIDQ5174352

Idris Kharroubi, Romuald Elie

Publication date: 17 February 2015

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

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

zbMATH Keywords

stochastic control; reflected BSDE; switching problems; backward stochastic differential equations (BSDEs) with jumps

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

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