Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time
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Publication:388138
DOI10.1016/j.bulsci.2012.11.006zbMath1281.60052arXiv1206.3433OpenAlexW2055456708MaRDI QIDQ388138
Imade Fakhouri, Soufiane Aazizi
Publication date: 19 December 2013
Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1206.3433
backward stochastic differential equationsoblique reflectionoptimal switchingswitching problemunbounded stopping time
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
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
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