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Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem
Stochastics and Dynamics ( IF 1.1 ) Pub Date : 2023-06-29 , DOI: 10.1142/s0219493723500351 Brahim El Asri 1 , Nacer Ourkiya 1
中文翻译:
具有斜反射和切换问题的无限视界多维BSDE
更新日期:2023-06-28
Stochastics and Dynamics ( IF 1.1 ) Pub Date : 2023-06-29 , DOI: 10.1142/s0219493723500351 Brahim El Asri 1 , Nacer Ourkiya 1
Affiliation
This paper studies a system of multi-dimensional reflected backward stochastic differential equations (RBSDEs) with oblique reflections in infinite horizon associated to switching problems. The existence and uniqueness of the adapted solution is obtained by using a method based on a combination of penalization, verification and contraction property.
中文翻译:
具有斜反射和切换问题的无限视界多维BSDE
本文研究了多维反射后向随机微分方程 (RBSDE) 系统,该方程组具有与切换问题相关的无限视野中的倾斜反射。采用基于惩罚性、验证性和收缩性相结合的方法得到了自适应解的存在性和唯一性。