Infinite Horizon Multi-Dimensional BSDE with Oblique Reflection and Switching Problem
Probability
2023-02-28 v2
Abstract
This paper studies a system of multi-dimensional reflected backward stochastic differential equations with oblique reflections (RBSDEs for short) in infinite horizon associated to switching problems. The existence and uniqueness of the adapted solution is obtained by using a method based oa combination of penalization, verification method and contraction property.
Keywords
Cite
@article{arxiv.2102.04948,
title = {Infinite Horizon Multi-Dimensional BSDE with Oblique Reflection and Switching Problem},
author = {Brahim El Asri and Nacer Ourkiya},
journal= {arXiv preprint arXiv:2102.04948},
year = {2023}
}
Comments
18 pages. Reflected backward stochastic differential equations, Switching problem, Backward stochastic differential equations, Infinite horizon, Oblique reflection. Accepted in Stochastics and Dynamics (SD)