BSDE representations for optimal switching problems with controlled volatility
نویسندگان
چکیده
منابع مشابه
BSDE representations for optimal switching problems with controlled volatility
This paper provides two different strong BSDE representations for optimal switching problems in the case where the dynamics of the underlying diffusion process depends on the current value of the switching mode. These new representations make use of either one-dimensional constrained BSDEs with jumps or multidimensional BSDEs with oblique reflections, thus extending the framework considered by ...
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In this paper, we study a multi-dimensional backward stochastic differential equation (BSDE) with oblique reflection, which is a BSDE reflected on the boundary of a special unbounded convex domain along an oblique direction, and which arises naturally in the study of optimal switching problem. The existence of the adapted solution is obtained by the penalization method, the monotone convergence...
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ژورنال
عنوان ژورنال: Stochastics and Dynamics
سال: 2014
ISSN: 0219-4937,1793-6799
DOI: 10.1142/s0219493714500038