Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
Copyright policy )Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
This paper is concerned with the switching game of a one-dimensional backward stochastic differential equation (BSDE). The associated Bellman-Isaacs equation is a system of matrix-valued BSDEs living in a special unbounded convex domain with reflection on the boundary along an oblique direction. In this paper, we show the existence of an adapted solution to this system of BSDEs with oblique reflection by the penalization method, the monotone convergence, and the a priori estimates.
- American Institute of Mathematical Sciences United States
- University of Rennes 1 France
- Fudan University
- Universite Rennes 2 France
- FUDAN UNIVERSITY
[MATH.MATH-PR] Mathematics [math]/Probability [math.PR], switching game, Ordinary differential equations and systems with randomness, Probability (math.PR), Dynamic programming in optimal control and differential games, Switching Game, oblique reflection, 510, Stochastic ordinary differential equations (aspects of stochastic analysis), [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], backward stochastic differential equations, FOS: Mathematics, Optimal stochastic control, Stochastic systems in control theory (general), Mathematics - Probability
[MATH.MATH-PR] Mathematics [math]/Probability [math.PR], switching game, Ordinary differential equations and systems with randomness, Probability (math.PR), Dynamic programming in optimal control and differential games, Switching Game, oblique reflection, 510, Stochastic ordinary differential equations (aspects of stochastic analysis), [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], backward stochastic differential equations, FOS: Mathematics, Optimal stochastic control, Stochastic systems in control theory (general), Mathematics - Probability
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