Systems of BSDES with oblique reflection and related optimal switching problems

DOI10.1142/S0219493719500308MaRDI QIDQ5228832zbMATH OpenFDO

Authors Mateusz Topolewski

Publication date 13 August 2019

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.05391

zbMATH Keywords

oblique reflectionoptimal switching problem\(L^1\) datasystems of BSDEsquasi-monotone generator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)

Abstract: We consider systems of backward stochastic differential equations with c`adl`ag upper barrier $U$ and oblique reflection from below driven by an increasing continuous function $H$. Our equations are defined on general probability spaces with a filtration satisfying merely the usual assumptions of right continuity and completeness. We assume that the pair $(H(U),U)$ satisfies a Mokobodzki--type condition. We prove the existence of a solution for integrable terminal conditions and integrable quasi--monotone generators. Applications to the optimal switching problem are given.

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Cited in

(12)

• Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
• Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem
• Switching problem and related system of reflected backward SDEs
• Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
• Optimal switching, systems of reflected BSDEs and systems of variational inequalities with inter-connected obstacles
• Switching problems with controlled randomisation and associated obliquely reflected BSDEs
• Optimal switching of one-dimensional reflected BSDEs and associated multidimensional BSDEs with oblique reflection
• Diagonally quadratic BSDE with oblique reflection and optimal switching
• Multi-dimensional BSDE with oblique reflection and optimal switching
• Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications
• 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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