Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem

DOI10.1142/S0219493723500351MaRDI QIDQ6090797zbMATH OpenFDO

Authors Brahim El Asri, Nacer Ourkiya

Publication date 20 November 2023

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

Full work available at URL https://arxiv.org/abs/2102.04948

zbMATH Keywords

backward stochastic differential equationsoblique reflectioninfinite horizonswitching problemreflected backward stochastic differential equations

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: This paper studies a system of multi-dimensional reflected backward stochastic differential equations with oblique reflections (RBSDEs for short) in infinite horizon associated to switching problems. The existence and uniqueness of the adapted solution is obtained by using a method based oa combination of penalization, verification method and contraction property.

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Cites work

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Cited in

(7)

• Systems of BSDES with oblique reflection and related optimal switching problems
• Diagonally quadratic BSDE with oblique reflection and optimal switching
• \(L^p\)-solutions of multi-dimensional oblique reflected BSDEs and optimal switching problem on finite or infinite time horizon
• Stochastic optimal switching and systems of variational inequalities with interconnected obstacles
• A note on reflected BSDEs in infinite horizon with stochastic Lipschitz coefficients
• Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time
• Reflections on BSDEs

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