Systems of quasi-variational inequalities related to the switching problem
Probability
2019-10-10 v2
Abstract
We prove the existence of weak solution for a system of quasi-variational inequalities related to a switching problem with dynamic driven by operator associated with a semi-Dirichlet form and with measure data. We give a stochastic representation of solutions in terms of solutions of a system of reflected BSDEs with oblique reflection. As a by-product, we prove the existence of an optimal strategy in the switching problem and show regularity of the payoff function.
Keywords
Cite
@article{arxiv.1609.02221,
title = {Systems of quasi-variational inequalities related to the switching problem},
author = {Tomasz Klimsiak},
journal= {arXiv preprint arXiv:1609.02221},
year = {2019}
}