Switching problems with controlled randomisation and associated obliquely reflected BSDEs
CHASSAGNEUX, Jean-François
Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
CHASSAGNEUX, Jean-François
Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
< Leer menos
Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
Idioma
en
Article de revue
Este ítem está publicado en
Stochastic Processes and their Applications. 2022-02 n° 144, p. Pages 23-71
Elsevier
Resumen en inglés
We 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 ...Leer más >
We 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).< Leer menos
Palabras clave en inglés
Optimal switching with uncertainty
Backward stochastic differential equations
Oblique reflections
Enlargement of filtrations
Orígen
Importado de HalCentros de investigación