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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

Type
Document de travail / Working paper
Date
2009
Series title
Université Paris-Dauphine
Published in
Paris
Pages
24
Metadata
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Author(s)
Elie, Romuald
Kharroubi, Idris
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.
Subjects / Keywords
Reflected BSDE; Switching problems; BSDE with jumps; Constrained BSDE

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