Diagonally quadratic BSDE with oblique reflection and optimal switching
Probability
2021-11-17 v1
Abstract
The present paper is devoted to the study of diagonally quadratic backward stochastic differential equation with oblique reflection. Using a penalization approach, we show the existence fo a solution by providing some delicated a priori estimates. We further obtain the uniqueness by verifying the first component of the solution is indeed the value of a switching probelm for quadratic BSDEs. Moreover, we provide an extension for the solvability and apply our results to study a risk-sensitive switching problem for functional stochastic differential equations.
Keywords
Cite
@article{arxiv.2111.08602,
title = {Diagonally quadratic BSDE with oblique reflection and optimal switching},
author = {Peng Luo and Mengbo Zhu},
journal= {arXiv preprint arXiv:2111.08602},
year = {2021}
}