{"title":"Lp-solutions of Multi-dimensional Oblique Reflected BSDEs and Optimal Switching Problem on Finite or Infinite Time Horizon","authors":"Xue-jun Shi, Qun Feng, 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 < <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":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"100","ListUrlMain":"https://link.springer.com/article/10.1007/s10255-024-1136-1","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","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.