Systems of quasi-variational inequalities related to the switching problem

Tomasz Klimsiak

Stochastic Processes and their Applications, 2019, vol. 129, issue 4, 1259-1286

Abstract: 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.

Keywords: Switching problem; Reflected BSDEs; Semi-Dirichlet forms; Quasi-variational inequalities; Penalization scheme (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2018.04.008

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