Switching problem and related system of reflected backward SDEs |
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Authors: | Said Hamadène Jianfeng Zhang |
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Institution: | 1. Université du Maine, Département de Mathématiques, Equipe Statistique et Processus, Avenue Olivier Messiaen, 72085 Le Mans, Cedex 9, France;2. USC Department of Mathematics, S. Vermont Ave, KAP 108, Los Angeles, CA 90089, USA |
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Abstract: | This paper studies a system of backward stochastic differential equations with oblique reflections (RBSDEs for short), motivated by the switching problem under Knightian uncertainty and recursive utilities. The main feature of our system is that its components are interconnected through both the generators and the obstacles. We prove existence, uniqueness, and stability of the solution of the RBSDE, and give the expression of the price and the optimal strategy for the original switching problem via a verification theorem. |
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Keywords: | 60G40 93E20 62P20 91B99 |
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