Optimal Switching of One-Dimensional Reflected BSDEs and Associated Multidimensional BSDEs with Oblique Reflection

DOI10.1137/080738349zbMath1235.93263arXiv0810.3176OpenAlexW2146814280MaRDI QIDQ3224965

Shanjian Tang, Hyeng Keun Koo, Wei Zhong

Publication date: 13 March 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.3176

zbMATH Keywords

stochastic differential game oblique reflection reflected backward stochastic differential equation optimal switching real option

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic programming (90C15) Optimal stochastic control (93E20) Probabilistic games; gambling (91A60)

Related Items (5)

An existence theorem for multidimensional BSDEs with mixed reflections ⋮ Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications ⋮ Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem ⋮ Systems of BSDES with oblique reflection and related optimal switching problems ⋮ Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations

This page was built for publication: Optimal Switching of One-Dimensional Reflected BSDEs and Associated Multidimensional BSDEs with Oblique Reflection