Photo by arnosenoner from unsplash
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… Click to show full 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.
Keywords:
variational inequalities;
quasi variational;
inequalities related;
related switching;
problem;
switching problem
Journal Title: Stochastic Processes and their Applications
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Stochastic Processes and their Applications
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!