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Stochastic control representations for penalized backward stochastic differential equations
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Liang, Gechun (2015) Stochastic control representations for penalized backward stochastic differential equations. SIAM Journal on Control and Optimization, 53 (3). pp. 1440-1463. doi:10.1137/130942681
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WRAP-Stochastic-control-representations-penalized-stochastic-Liang-2015.pdf - Accepted Version - Requires a PDF viewer. Download (599Kb) | Preview |
Official URL: http://dx.doi.org/10.1137/130942681
Abstract
This paper shows that the penalized backward stochastic differential equation (BSDE), which is often used to approximate and solve the corresponding reflected BSDE, admits both optimal stopping representation and optimal control representation. The new feature of the optimal stopping representation is that the player is allowed to stop at exogenous Poisson arrival times. The convergence rate of the penalized BSDE then follows from the optimal stopping representation. The paper applies to two classes of equations, namely, multidimensional reflected BSDE and reflected BSDE with a constraint on the hedging part, and gives stochastic control representations for their corresponding penalized equations.
| Item Type: | Journal Article | ||||||
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| Divisions: | Faculty of Science > Statistics | ||||||
| Journal or Publication Title: | SIAM Journal on Control and Optimization | ||||||
| Publisher: | Society for Industrial and Applied Mathematics | ||||||
| ISSN: | 0363-0129 | ||||||
| Official Date: | June 2015 | ||||||
| Dates: |
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| Volume: | 53 | ||||||
| Number: | 3 | ||||||
| Page Range: | pp. 1440-1463 | ||||||
| DOI: | 10.1137/130942681 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Publisher Statement: | “First Published in SIAM Journal on Control and Optimization in 53(3), 2015 published by the Society for Industrial and Applied Mathematics (SIAM)” © 2015, Society for Industrial and Applied Mathematics | ||||||
| Access rights to Published version: | Restricted or Subscription Access |
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