Switching problem and related system of reflected backward SDEs

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:120

Article

Hamadene, Said²  Zhang, Jianfeng¹ 

[1] Univ So Calif, Dept Math, Los Angeles, CA 90089 USA

[2] Univ Maine, Dept Math, Equipe Stat & Proc, F-72085 Le Mans 9, France

关键词: Real options;    Starting and stopping problem;    Switching problem;    Backward SDEs;    Reflected BSDEs;    Oblique reflection;    Snell enveloped;    Optimal stopping problem;   

DOI  :  10.1016/j.spa.2010.01.003

来源: Elsevier

【 摘 要 】

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. (C) 2010 Elsevier B.V. All rights reserved.

【 授权许可】

Free