کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7548283 1489842 2018 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
چکیده انگلیسی
This paper studies a system of backward stochastic differential equations with both oblique and normal reflections which arises in the study of the optimal switching problem. The main feature of our system is that its components are interconnected through both the obstacles and the generators which are only assumed to be left-Lipschitz continuous with respect to y. We provide an existence theorem of minimal solutions for RBSDEs in this framework.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 137, June 2018, Pages 70-78
نویسندگان
, , , ,