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arXiv · 1712.05391

Systems of BSDEs with oblique reflection and related optimal switching problems

Mateusz Topolewski
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Abstract

We consider systems of backward stochastic differential equations with c\`adl\`ag upper barrier $U$ and oblique reflection from below driven by an increasing continuous function $H$. Our equations are defined on general probability spaces with a filtration satisfying merely the usual assumptions of right continuity and completeness. We assume that the pair $(H(U),U)$ satisfies a Mokobodzki--type condition. We prove the existence of a solution for integrable terminal conditions and integrable quasi--monotone generators. Applications to the optimal switching problem are given.

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Mateusz Topolewski. 2017-12-14. Systems of BSDEs with oblique reflection and related optimal switching problems. https://doi.org/10.1142/s0219493719500308

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