• français
    • English
  • English 
    • français
    • English
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.
BIRD Home

Browse

This CollectionBy Issue DateAuthorsTitlesSubjectsJournals BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesSubjectsJournals

My Account

Login

Statistics

View Usage Statistics

Constrained Backward SDEs with Jumps: Application to Optimal Switching

Thumbnail
Date
2009
Publisher city
Paris
Collection title
Université Paris-Dauphine
Dewey
Probabilités et mathématiques appliquées
Sujet
Reflected BSDE; Switching problems; BSDE with jumps; Constrained BSDE
URI
https://basepub.dauphine.fr/handle/123456789/3136
Collections
  • CEREMADE : Publications
Metadata
Show full item record
Author
Elie, Romuald
Kharroubi, Idris
Type
Document de travail / Working paper
Item number of pages
24
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 [16] or [12] as well as the oblique reflected ones studied by [11] and [9]. 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.

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Content on this site is licensed under a Creative Commons 2.0 France (CC BY-NC-ND 2.0) license.