Systems of quasi-variational inequalities related to the switching problem

Tomasz Klimsiak

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arXiv · 1609.02221

Systems of quasi-variational inequalities related to the switching problem

Tomasz Klimsiak

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Abstract

We prove the existence of weak solution for a system of quasi-variational inequalities related to a switching problem with dynamic driven by operator associated with a semi-Dirichlet form and with measure data. We give a stochastic representation of solutions in terms of solutions of a system of reflected BSDEs with oblique reflection. As a by-product, we prove the existence of an optimal strategy in the switching problem and show regularity of the payoff function.

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Tomasz Klimsiak. 2016-09-07. Systems of quasi-variational inequalities related to the switching problem. https://arxiv.org/abs/1609.02221

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