Systems of quasi-variational inequalities related to the switching problem

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:129

Article

Klimsiak, Tomasz^1,2 

[1] Polish Acad Sci, Inst Math, Sniadeckich 8, PL-00956 Warsaw, Poland

[2] Nicolaus Copernicus Univ, Fac Math & Comp Sci, Chopina 12-18, PL-87100 Torun, Poland

关键词: Switching problem;    Reflected BSDEs;    Semi-Dirichlet forms;    Quasi-variational inequalities;    Penalization scheme;   

DOI  :  10.1016/j.spa.2018.04.008

来源: Elsevier

【 摘 要 】

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. (C) 2018 Elsevier B.V. All rights reserved.

【 授权许可】

Free