Multidimensional BSDEs with Mixed Reflections and Balance Sheet Optimal Switching Problem
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Publisher
Springer International Publishing
Link
http://link.springer.com/content/pdf/10.1007/978-3-030-50436-6_43
Reference17 articles.
1. Aazizi, S., El Mellali, T., Fakhouri, I., Ouknine, Y.: Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections. Statist. Probab. Lett. 137, 70–78 (2018)
2. Aazizi, S., Fakhouri, I.: Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time. Bull. Sci. Math. 137(4), 523–540 (2013)
3. Dellacherie, C., Meyer, P.-A.: Probabilités et potentiels. Chapter I-IV. Hermann, Paris (1975)
4. Djehiche, B., Hamdi, A.: A full balance sheet two-mode optimal switching problem. Stochastics 87(4), 604–622 (2015)
5. Eddahbi, M., Fakhouri, I., Ouknine, Y.: A balance sheet optimal multi-modes switching problem. Afr. Mat. 31(2), 219–236 (2020)
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