\(L^p\)-solutions of multi-dimensional oblique reflected BSDEs and optimal switching problem on finite or infinite time horizon

DOI10.1007/s10255-024-1136-1MaRDI QIDQ6639499

Xuejun Shi, Long Jiang, Qun Feng

Publication date: 15 November 2024

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

zbMATH Keywords

backward stochastic differential equationsoptimal stopping problemoptimal switchingreal option

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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