Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem

DOI10.1142/S0219493723500351arXiv2102.04948MaRDI QIDQ6090797

Brahim El Asri, Nacer Ourkiya

Publication date: 20 November 2023

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

Full work available at URL: https://arxiv.org/abs/2102.04948

zbMATH Keywords

infinite horizonbackward stochastic differential equationsoblique reflectionswitching problemreflected backward stochastic differential equations

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to PDEs (35D40)

Cites Work

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• Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
• On the Starting and Stopping Problem: Application in Reversible Investments
• Existence and uniqueness for BSDE with stopping time

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