Switching problems with controlled randomisation and associated obliquely reflected BSDEs - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Stochastic Processes and their Applications Année : 2022

Switching problems with controlled randomisation and associated obliquely reflected BSDEs

Résumé

We introduce and study a new class of optimal switching problems, namely switching problem with controlled randomisation, where some extra-randomness impacts the choice of switching modes and associated costs. We show that the optimal value of the switching problem is related to a new class of multidimensional obliquely reflected BSDEs. These BSDEs allow as well to construct an optimal strategy and thus to solve completely the initial problem. The other main contribution of our work is to prove new existence and uniqueness results for these obliquely reflected BSDEs. This is achieved by a careful study of the domain of reflection and the construction of an appropriate oblique reflection operator in order to invoke results from Jean-François Chassagneux and Adrien Richou (2020).
Fichier principal
Vignette du fichier
main.pdf (735.36 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-02463626 , version 1 (01-02-2020)
hal-02463626 , version 2 (13-12-2021)

Identifiants

Citer

Cyril Bénézet, Jean-François Chassagneux, Adrien Richou. Switching problems with controlled randomisation and associated obliquely reflected BSDEs. Stochastic Processes and their Applications, 2022, 144, pp.Pages 23-71. ⟨10.1016/j.spa.2021.10.010⟩. ⟨hal-02463626v2⟩
126 Consultations
87 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More