PR ] 1 9 M ar 2 00 9 Constrained Backward SDEs with Jumps : Application to Optimal Switching

@inproceedings{Elie2009PR1,
  title={PR ] 1 9 M ar 2 00 9 Constrained Backward SDEs with Jumps : Application to Optimal Switching},
  author={Romuald Elie and Idris},
  year={2009}
}
In this paper, we introduce a new class of BSDE generalizing and offering a unifying framework to represent the constrained ones presented in [16] or [12] as well as the oblique reflected ones studied by [11] and [9]. Via a penalization procedure, we provide an existence and uniqueness result for this new class of so-called constrained BSDEs with jumps… CONTINUE READING