Backward SDEs with constrained jumps and quasi-variational inequalities
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Publication:964784
DOI10.1214/09-AOP496zbMATH Open1205.60114arXiv0805.4676OpenAlexW3098963892MaRDI QIDQ964784FDOQ964784
Authors: Idris Kharroubi, Jin Ma, Huyên Pham, Jianfeng Zhang 
Publication date: 21 April 2010
Published in: The Annals of Probability (Search for Journal in Brave)
Abstract: We consider a class of backward stochastic differential equations (BSDEs) driven by Brownian motion and Poisson random measure, and subject to constraints on the jump component. We prove the existence and uniqueness of the minimal solution for the BSDEs by using a penalization approach. Moreover, we show that under mild conditions the minimal solutions to these constrained BSDEs can be characterized as the unique viscosity solution of quasi-variational inequalities (QVIs), which leads to a probabilistic representation for solutions to QVIs. Such a representation in particular gives a new stochastic formula for value functions of a class of impulse control problems. As a direct consequence, this suggests a numerical scheme for the solution of such QVIs via the simulation of the penalized BSDEs.
Full work available at URL: https://arxiv.org/abs/0805.4676
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penalizationbackward stochastic differential equationquasi-variational inequalitiesjump-diffusion processimpulse control problemsjump constraints
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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