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

DOI10.1142/S0219493723500351arXiv2102.04948MaRDI QIDQ6090797FDOQ6090797

Authors: Brahim El Asri, Nacer Ourkiya 

Publication date: 20 November 2023

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

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.

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)

Cites Work

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Cited In (4)

• Systems of BSDES with oblique reflection and related optimal switching problems
• Stochastic optimal switching and systems of variational inequalities with interconnected obstacles
• Reflections on BSDEs
• Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time

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