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Switching problems with controlled randomisation and associated obliquely reflected BSDEs

hal.structure.identifierLaboratoire de Mathématiques et Modélisation d'Evry [LaMME]
dc.contributor.authorBÉNÉZET, Cyril
hal.structure.identifierLaboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
dc.contributor.authorCHASSAGNEUX, Jean-François
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorRICHOU, Adrien
dc.date.accessioned2024-04-04T02:43:26Z
dc.date.available2024-04-04T02:43:26Z
dc.date.issued2022-02
dc.identifier.issn0304-4149
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/191336
dc.description.abstractEnWe introduce and study a new class of optimal switching problems, namely switching problem with controlled randomisation, where some extra-randomness impacts the choice of switching modes and associated costs. We show that the optimal value of the switching problem is related to a new class of multidimensional obliquely reflected BSDEs. These BSDEs allow as well to construct an optimal strategy and thus to solve completely the initial problem. The other main contribution of our work is to prove new existence and uniqueness results for these obliquely reflected BSDEs. This is achieved by a careful study of the domain of reflection and the construction of an appropriate oblique reflection operator in order to invoke results from Jean-François Chassagneux and Adrien Richou (2020).
dc.language.isoen
dc.publisherElsevier
dc.subject.enOptimal switching with uncertainty
dc.subject.enBackward stochastic differential equations
dc.subject.enOblique reflections
dc.subject.enEnlargement of filtrations
dc.title.enSwitching problems with controlled randomisation and associated obliquely reflected BSDEs
dc.typeArticle de revue
dc.identifier.doi10.1016/j.spa.2021.10.010
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.journalStochastic Processes and their Applications
bordeaux.pagePages 23-71
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.issue144
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-02463626
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-02463626v1
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