Switching problem and related system of reflected backward SDEs

DOI10.1016/J.SPA.2010.01.003zbMATH Open1191.60056OpenAlexW2119993310MaRDI QIDQ963029FDOQ963029

Authors: Said Hamadène, Jianfeng Zhang 

Publication date: 8 April 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2010.01.003

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zbMATH Keywords

backward SDEsoblique reflectionoptimal stopping problemreal optionsSnell envelopeswitching problemreflected BSDEsstarting and stopping problem

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Mathematical economics (91B99) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cited In (72)

• On a switching control problem with càdlàg costs
• System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains
• Principal-agent problem with multiple principals
• Systems of fully nonlinear degenerate elliptic obstacle problems with Dirichlet boundary conditions
• Diagonally quadratic BSDE with oblique reflection and optimal switching
• A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
• \(L^p\)-solutions of multi-dimensional oblique reflected BSDEs and optimal switching problem on finite or infinite time horizon
• Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
• Stochastic optimal switching and systems of variational inequalities with interconnected obstacles
• Deep signature algorithm for multidimensional path-dependent options
• Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions
• Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers
• A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
• Pairs trading under a mean reversion model with regime switching
• Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
• Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
• Systems of BSDES with oblique reflection and related optimal switching problems
• \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
• Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
• Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
• A Brownian optimal switching problem under incomplete information
• Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem
• L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations
• Obstacle problem for evolution equations involving measure data and operator corresponding to semi-Dirichlet form
• BSDEs with mean reflection
• Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
• Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
• Time discretization and quantization methods for optimal multiple switching problem
• Optimal switching, systems of reflected BSDEs and systems of variational inequalities with inter-connected obstacles
• An investment model with switching costs and the option to abandon
• Obliquely reflected backward stochastic differential equations
• On the finite horizon optimal switching problem with random lag
• Switching problems with controlled randomisation and associated obliquely reflected BSDEs
• Backward doubly SDEs and semilinear stochastic PDEs in a convex domain
• Optimal switching of one-dimensional reflected BSDEs and associated multidimensional BSDEs with oblique reflection
• On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
• Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
• Buy-low and sell-high investment strategies
• Quadratic BSDEs with mean reflection
• Optimal switching at Poisson random intervention times
• Systems of quasi-variational inequalities related to the switching problem
• Quadratic mean-field reflected BSDEs
• Sequential systems of reflected backward stochastic differential equations with application to impulse control
• \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
• Multidimensional dynamic risk measure via conditional \(g\)-expectation
• BSDEs with monotone generator and two irregular reflecting barriers
• Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
• Reflected BSDEs in non-convex domains
• An existence theorem for multidimensional BSDEs with mixed reflections
• Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process
• Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
• Stochastic control representations for penalized backward stochastic differential equations
• A two-scale scheme for finite horizon switching problems with delays
• Reflected BSDEs with jumps in time-dependent convex càdlàg domains
• Stochastic hybrid differential games and match race problems
• Viscosity solution of system of integro-partial differential equations with interconnected obstacles of non-local type without monotonicity conditions
• Multi-dimensional BSDEs with mean reflection
• A finite horizon optimal switching problem with memory and application to controlled SDDEs
• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
• Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications
• Discrete-time approximation of multidimensional BSDEs with oblique reflections
• Reflected BSDE of Wiener-Poisson type in time-dependent domains
• Zero-sum stochastic differential games of impulse versus continuous control by FBSDEs
• Robust feedback switching control: dynamic programming and viscosity solutions
• Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
• A balance sheet optimal multi-modes switching problem
• Probabilistic representation and approximation for coupled systems of variational inequalities
• The use of generation stochastic models to study an epidemic disease
• Robust classical-impulse stochastic control problems in an infinite horizon
• Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type
• 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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