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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

Type
Article accepté pour publication ou publié
External document link
http://hal.archives-ouvertes.fr/hal-00573428/fr/
Date
2014
Journal name
Stochastics and Dynamics
Volume
14
Number
3
Publisher
World Scientific
Pages
n°1450003
Publication identifier
http://dx.doi.org/10.1142/S0219493714500038
Metadata
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Author(s)
Kharroubi, Idris
Elie, Romuald
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 [11]. In particular, the numerical resolution of the corresponding switching problem can therefore be treated via the entirely probabilistic schemes presented in [3] or [7].
Subjects / Keywords
Reflected BSDE; Switching problems; Stochastic control

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    Constrained Backward SDEs with Jumps: Application to Optimal Switching 
    Elie, Romuald; Kharroubi, Idris (2009) Document de travail / Working paper
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    Adding constraints to BSDEs with Jumps: an alternative to multidimensional reflections 
    Kharroubi, Idris; Elie, Romuald (2014) Article accepté pour publication ou publié
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    Discrete-time Approximation of Multidimensional BSDEs with oblique reflections 
    Chassagneux, Jean-François; Kharroubi, Idris; Elie, Romuald (2012) Article accepté pour publication ou publié
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    A note on existence and uniqueness for solutions of multidimensional reflected BSDEs 
    Chassagneux, Jean-François; Kharroubi, Idris; Elie, Romuald (2011) Article accepté pour publication ou publié
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    Probabilistic Representation and Approximation for Coupled Systems of Variational Inequalities 
    Elie, Romuald; Kharroubi, Idris (2010) Article accepté pour publication ou publié
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