Multi-dimensional BSDE with Oblique Reflection and Optimal Switching

Details Multi-dimensional BSDE with Oblique Reflection and Optimal Switching Multi-dimensional BSDE with Oblique Reflection and Optimal Switching

2007-06-29

arxiv.org/abs/0706.4365v2

Mathematics

Probability

Scientific paper

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, and the a priori estimations. The uniqueness is obtained by a verification method (the first component of any adapted solution is shown to be the vector value of a switching problem for BSDEs). As applications, we apply the above results to solve the optimal switching problem for stochastic differential equations of functional type, and we give also a probabilistic interpretation of the viscosity solution to a system of variational inequalities.

Affiliated with

Also associated with

No associations

Rating

Multi-dimensional BSDE with Oblique Reflection and Optimal Switching does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Multi-dimensional BSDE with Oblique Reflection and Optimal Switching, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Multi-dimensional BSDE with Oblique Reflection and Optimal Switching will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-681594