Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time

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

zbMATH Keywords

backward stochastic differential equationsoblique reflectionoptimal switchingswitching problemunbounded stopping time

Mathematics Subject Classification ID

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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