Infinite Horizon Multi-Dimensional BSDE with Oblique Reflection and Switching Problem

2021/02/09 by Brahim El Asri, Asri, Brahim El, Nacer Ourkiya +1
Economics, Econometrics and Finance · #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2102.04948

openalex publication_date 2021/02/09 · openalex created_date 2022/10/02 · openalex updated_date 2026/07/28

Abstract

This paper studies a system of multi-dimensional reflected backward stochastic differential equations with oblique reflections (RBSDEs for short) in infinite horizon associated to switching problems. The existence and uniqueness of the adapted solution is obtained by using a method based oa combination of penalization, verification method and contraction property.

Related

• Multi-dimensional BSDE with Oblique Reflection and Optimal Switching
• Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time
• Switching Game of Backward Stochastic Differential Equations and Associated System of Obliquely Reflected Backward Stochastic Differential Equations
• Obliquely Reflected BSDEs
• Diagonally quadratic BSDE with oblique reflection and optimal switching