Lp-solutions of Multi-dimensional Oblique Reflected BSDEs and Optimal Switching Problem on Finite or Infinite Time Horizon

IF 0.9 4区 数学 Q3 MATHEMATICS, APPLIED
Xue-jun Shi, Qun Feng, Long Jiang
{"title":"Lp-solutions of Multi-dimensional Oblique Reflected BSDEs and Optimal Switching Problem on Finite or Infinite Time Horizon","authors":"Xue-jun Shi,&nbsp;Qun Feng,&nbsp;Long Jiang","doi":"10.1007/s10255-024-1136-1","DOIUrl":null,"url":null,"abstract":"<div><p>In this paper, we study mulit-dimensional oblique reflected backward stochastic differential equations (RBSDEs) in a more general framework over finite or infinite time horizon, corresponding to the pricing problem for a type of real option. We prove that the equation can be solved uniquely in <i>L</i><sup><i>p</i></sup>(1 &lt; <i>p</i> ≤ 2)-space, when the generators are uniformly continuous but each component taking values independently. Furthermore, if the generator of this equation fulfills the infinite time version of Lipschitzian continuity, we can also conclude that the solution to the oblique RBSDE exists and is unique, despite the fact that the values of some generator components may affect one another.</p></div>","PeriodicalId":6951,"journal":{"name":"Acta Mathematicae Applicatae Sinica, English Series","volume":"40 4","pages":"1127 - 1146"},"PeriodicalIF":0.9000,"publicationDate":"2024-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Acta Mathematicae Applicatae Sinica, English Series","FirstCategoryId":"100","ListUrlMain":"https://link.springer.com/article/10.1007/s10255-024-1136-1","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
引用次数: 0

Abstract

In this paper, we study mulit-dimensional oblique reflected backward stochastic differential equations (RBSDEs) in a more general framework over finite or infinite time horizon, corresponding to the pricing problem for a type of real option. We prove that the equation can be solved uniquely in Lp(1 < p ≤ 2)-space, when the generators are uniformly continuous but each component taking values independently. Furthermore, if the generator of this equation fulfills the infinite time version of Lipschitzian continuity, we can also conclude that the solution to the oblique RBSDE exists and is unique, despite the fact that the values of some generator components may affect one another.

有限或无限时间水平线上多维斜反射 BSDE 的 Lp 解与最优切换问题
在本文中,我们在有限或无限时间跨度的更一般框架内研究了多维斜反射后向随机微分方程(RBSDEs),它与一种实物期权的定价问题相对应。我们证明,当生成器均匀连续但每个分量独立取值时,方程可以在 Lp(1 < p ≤ 2)空间中唯一求解。此外,如果该方程的生成器满足无限时间版本的 Lipschitzian 连续性,我们还可以得出结论:尽管某些生成器分量的值可能相互影响,但斜 RBSDE 的解是存在且唯一的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
CiteScore
1.30
自引率
0.00%
发文量
70
审稿时长
3.0 months
期刊介绍: Acta Mathematicae Applicatae Sinica (English Series) is a quarterly journal established by the Chinese Mathematical Society. The journal publishes high quality research papers from all branches of applied mathematics, and particularly welcomes those from partial differential equations, computational mathematics, applied probability, mathematical finance, statistics, dynamical systems, optimization and management science.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信