Constrained Backward SDEs with Jumps: Application to Optimal Switching
Elie, Romuald; Kharroubi, Idris (2009), Constrained Backward SDEs with Jumps: Application to Optimal Switching. https://basepub.dauphine.fr/handle/123456789/3136
TypeDocument de travail / Working paper
Series titleUniversité Paris-Dauphine
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Abstract (EN)In this paper, we introduce a new class of BSDE generalizing and offering a unifying framework to represent the constrained ones presented in  or  as well as the oblique reflected ones studied by  and . Via a penalization procedure, we provide an existence and uniqueness result for this new class of so-called constrained BSDEs with jumps. Remarkably, these BSDEs appear to be very convenient to represent the solution to eventually non-Markovian switching problems. As a by-product, we enlarge the class of obliquely reflected BSDE's, allowing to represent switching problems with controlled underlined diffusion.
Subjects / KeywordsReflected BSDE; Switching problems; BSDE with jumps; Constrained BSDE
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