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Pré-Publication, Document De Travail Année : 2009

Constrained Backward SDEs with Jumps: Application to Optimal Switching

Résumé

In this paper, we introduce a new class of BSDE generalizing and offering a unifying framework to represent the constrained ones presented in [16] or [12] as well as the oblique reflected ones studied by [11] and [9]. Via a penalization procedure, we provide an existence and uniqueness result for this new class of so-called constrained BSDEs with jumps. Remarkably, these BSDEs appear to be very convenient to represent the solution to eventually non-Markovian switching problems. As a by-product, we enlarge the class of obliquely reflected BSDE's, allowing to represent switching problems with controlled underlined diffusion.
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Dates et versions

hal-01103771 , version 1 (19-03-2009)
hal-01103771 , version 2 (20-08-2009)
hal-01103771 , version 3 (08-03-2011)
hal-01103771 , version 4 (15-01-2015)

Identifiants

Citer

Romuald Elie, Idris Kharroubi. Constrained Backward SDEs with Jumps: Application to Optimal Switching. 2009. ⟨hal-01103771v1⟩

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