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Systems of quasi-variational inequalities related to the switching problem
Authors:Tomasz Klimsiak
Institution:Institute of Mathematics, Polish Academy of Sciences, ?niadeckich 8, 00-956 Warszawa, Poland;Faculty of Mathematics and Computer Science, Nicolaus Copernicus University, Chopina 12/18, 87-100 Toruń, Poland
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:Switching problem  Reflected BSDEs  Semi-Dirichlet forms  Quasi-variational inequalities  Penalization scheme  35J75  60J45
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