Switching problems with controlled randomisation and associated obliquely reflected BSDEs

DOI10.1016/j.spa.2021.10.010zbMath1483.60077arXiv2001.11308OpenAlexW3208084822MaRDI QIDQ2066958

Cyril Bénézet, Jean-François Chassagneux, Adrien Richou

Publication date: 17 January 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.11308

zbMATH Keywords

backward stochastic differential equationsenlargement of filtrationsoblique reflectionsoptimal switching with uncertainty

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (4)

Reflected BSDEs in non-convex domains ⋮ Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem ⋮ Multi-dimensional BSDEs with mean reflection ⋮ Quadratic mean-field reflected BSDEs

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