Switching problems with controlled randomisation and associated obliquely reflected BSDEs
نویسندگان
چکیده
We introduce and study a new class of optimal switching problems, namely problem with controlled randomisation, where some extra-randomness impacts the choice modes associated costs. show that value is related to multidimensional obliquely reflected BSDEs. These BSDEs allow as well construct an strategy thus solve completely initial problem. The other main contribution our work prove existence uniqueness results for these This achieved by careful domain reflection construction appropriate oblique operator in order invoke from Jean-François Chassagneux Adrien Richou (2020).
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2022
ISSN: ['1879-209X', '0304-4149']
DOI: https://doi.org/10.1016/j.spa.2021.10.010