Switching problem and related system of reflected backward SDEs

DOI10.1016/j.spa.2010.01.003zbMath1191.60056OpenAlexW2119993310MaRDI QIDQ963029

Jianfeng Zhang, Said Hamadène

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

zbMATH Keywords

real optionsoptimal stopping problemoblique reflectionbackward SDEsSnell envelopeswitching problemreflected BSDEsstarting and stopping problem

Mathematics Subject Classification ID

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

Related Items

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

Cites Work

• Unnamed Item
• Unnamed Item
• Reflected backward stochastic differential equations in an orthant
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected BSDEs and mixed game problem
• BSDEs with two reflecting barriers: the general result
• A model for investment decisions with switching costs.
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Optimal partially reversible investment with entry decision and general production function
• On the comparison theorem for multidimensional BSDEs
• The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
• A Finite Horizon Optimal Multiple Switching Problem
• Stochastic Differential Utility
• Valuation of Investments in Real Assets with Implications for the Stock Prices
• Optimal Switching in an Economic Activity under Uncertainty
• A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
• Reflected BSDE's with discontinuous barrier and application
• ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
• On the Starting and Stopping Problem: Application in Reversible Investments
• Ambiguity, Risk, and Asset Returns in Continuous Time