Abstract
AbstractThe paper considers a class of multi-valued backward stochastic differential equations with subdifferential of a lower semi-continuous convex function with regime switching, whose generator is a continuous-time Markov chain with a finite state space. Firstly, we get the existence and uniqueness of the solution by the penalization method. Secondly, we prove that the solution of the original system is weakly convergent. Finally, we give an application to the homogenization of a class of multi-valued PDEs with Markov chain.
Funder
National Natural Science Foundation of China
Natural Science Foundation of Anhui Province
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Algebra and Number Theory,Analysis
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