Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections

DOI10.1016/J.SPL.2018.01.006zbMath1396.60043OpenAlexW2787895694MaRDI QIDQ1640928

Imade Fakhouri, Tarik El Mellali, Soufiane Aazizi, Youssef Ouknine

Publication date: 14 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.01.006

zbMATH Keywords

real optionsoptimal stopping problemoblique reflectionnormal reflectionswitching problemreflected BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Mathematical economics (91B99)

Related Items (3)

Reflected BSDEs with jumps in time-dependent convex càdlàg domains ⋮ A balance sheet optimal multi-modes switching problem ⋮ \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method

Cites Work

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• Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
• Viscosity solutions for a system of PDEs and optimal switching
• Reflected backward stochastic differential equations with jumps in time-dependent random convex domains

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