带有斜反射和优化切换的对角二次 BSDE

IF 1.1 2区数学 Q3 STATISTICS & PROBABILITY

Stochastic Processes and their Applications Pub Date : 2024-06-28 DOI:10.1016/j.spa.2024.104424

Peng Luo , Mengbo Zhu

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引用次数: 0

摘要

本文致力于研究斜反射对角二次后向随机微分方程。我们采用惩罚方法，通过提供一些微妙的先验估计值来证明解的存在性。通过验证解的第一部分确实是二次随机微分方程切换问题的值，我们进一步获得了解的唯一性。此外，我们还提供了可解性的扩展，并将我们的结果应用于研究函数式随机微分方程的风险敏感切换问题。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Diagonally quadratic BSDE with oblique reflection and optimal switching

The present paper is devoted to the study of diagonally quadratic backward stochastic differential equation with oblique reflection. Using a penalization approach, we show the existence of a solution by providing some delicate a priori estimates. We further obtain the uniqueness by verifying the first component of the solution is indeed the value of a switching problem for quadratic BSDEs. Moreover, we provide an extension for the solvability and apply our results to study a risk-sensitive switching problem for functional stochastic differential equations.

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来源期刊

Stochastic Processes and their Applications 数学-统计学与概率论

CiteScore

2.90

自引率

7.10%

发文量

180

审稿时长

23.6 weeks

期刊介绍： Stochastic Processes and their Applications publishes papers on the theory and applications of stochastic processes. It is concerned with concepts and techniques, and is oriented towards a broad spectrum of mathematical, scientific and engineering interests. Characterization, structural properties, inference and control of stochastic processes are covered. The journal is exacting and scholarly in its standards. Every effort is made to promote innovation, vitality, and communication between disciplines. All papers are refereed.