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dc.contributor.authorElie, Romuald
dc.contributor.authorKharroubi, Idris
dc.date.accessioned2010-01-26T10:17:10Z
dc.date.available2010-01-26T10:17:10Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/3136
dc.language.isoenen
dc.subjectReflected BSDE
dc.subjectSwitching problems
dc.subjectBSDE with jumps
dc.subjectConstrained BSDE
dc.subject.ddc519en
dc.titleConstrained Backward SDEs with Jumps: Application to Optimal Switching
dc.typeDocument de travail / Working paper
dc.description.abstractenIn 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.
dc.publisher.cityParis
dc.identifier.citationpages24
dc.relation.ispartofseriestitleUniversité Paris-Dauphine
dc.description.sponsorshipprivateouien
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2017-09-22T16:49:47Z


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