Systems of BSDES with oblique reflection and related optimal switching problems

DOI10.1142/S0219493719500308zbMath1418.60065arXiv1712.05391MaRDI QIDQ5228832

Mateusz Topolewski

Publication date: 13 August 2019

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.05391

zbMATH Keywords

oblique reflectionoptimal switching problem\(L^1\) datasystems of BSDEsquasi-monotone generator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Optimal Switching of One-Dimensional Reflected BSDEs and Associated Multidimensional BSDEs with Oblique Reflection
• Reflected BSDEs with general filtration and two completely separated barriers
• On the Starting and Stopping Problem: Application in Reversible Investments

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