L^(p)-solutions of Multi-dimensional Oblique Reflected BSDEs and Optimal Switching Problem on Finite or Infinite Time Horizon  

作　　者：Xue-jun SHI Qun FENG Long JIANG 

机构地区：[1]School of Mathematics and Statistics,Shandong Normal University,Jinan 250358,China [2]School of Management Science and Engineering,University of Jinan,Jinan 250002,China [3]School of Mathematics,China University of Mining and Technology,Xuzhou 221116,China

出　　处：《Acta Mathematicae Applicatae Sinica》2024年第4期1127-1146,共20页应用数学学报（英文版）

基　　金：supported by the Natural Science Foundation of Shandong Province(Grant Nos.ZR2022MA079 and ZR2021MG049);the National Social Science Funding of China(Grant No.21CJY027);the TianYuan Special Funds of the National Natural Science Foundation of China(Grant No.11626146)。

摘　　要：In this paper,we study mulit-dimensional oblique reflected backward stochastic differential equations(RBSDEs)in a more general framework over finite or infinite time horizon,corresponding to the pricing problem for a type of real option.We prove that the equation can be solved uniquely in L^(p)(1<p≤2)-space,when the generators are uniformly continuous but each component taking values independently.Furthermore,if the generator of this equation fulfills the infinite time version of Lipschitzian continuity,we can also conclude that the solution to the oblique RBSDE exists and is unique,despite the fact that the values of some generator components may affect one another.

关 键 词：multi-dimensional oblique reflected BSDE optimal switching and stopping problem finite or infinite time horizon uniformly continuous generators 

分 类 号：O211.63[理学—概率论与数理统计]