Systems of quasi-variational inequalities related to the switching problem
| Autor: | Tomasz Klimsiak |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Statistics and Probability
Applied Mathematics Weak solution 010102 general mathematics 01 natural sciences Measure (mathematics) 010104 statistics & probability Operator (computer programming) Modeling and Simulation Variational inequality Applied mathematics 0101 mathematics Payoff function Representation (mathematics) Mathematics Oblique reflection |
| Zdroj: | Stochastic Processes and their Applications. 129:1259-1286 |
| ISSN: | 0304-4149 |
| DOI: | 10.1016/j.spa.2018.04.008 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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