BSDE representations for optimal switching problems with controlled volatility
Kharroubi, Idris; Elie, Romuald (2014), BSDE representations for optimal switching problems with controlled volatility, Stochastics and Dynamics, 14, 3, p. n°1450003. http://dx.doi.org/10.1142/S0219493714500038
TypeArticle accepté pour publication ou publié
External document linkhttp://hal.archives-ouvertes.fr/hal-00573428/fr/
Journal nameStochastics and Dynamics
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Abstract (EN)This paper provides two different strong BSDE representations for optimal switching problems in the case where the dynamics of the underlying diffusion process depends on the current value of the switching mode. These new representations make use of either one-dimensional constrained BSDEs with jumps or multidimensional BSDEs with oblique reflections, thus extending the framework considered by Hu and Tang . In particular, the numerical resolution of the corresponding switching problem can therefore be treated via the entirely probabilistic schemes presented in  or .
Subjects / KeywordsReflected BSDE; Switching problems; Stochastic control
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