Stochastic Control Representations for Penalized Backward Stochastic Differential Equations

Stochastic Control Representations for Penalized Backward Stochastic Differential Equations

Thu, 28/02
13:00 		Gechun Liang (Mathematics (Oxford)) Mathematical Finance Internal Seminar Add to calendar DH 1st floor SR
Stochastic Control Representations for Penalized Backward Stochastic Differential Equations
In this talk, We show that both reflected BSDE and its associated penalized BSDE admit both optimal stopping representation and optimal control representation. We also show that both multidimensional reflected BSDE and its associated multidimensional penalized BSDE admit optimal switching representation. The corresponding optimal stopping problems for penalized BSDE have the feature that one is only allowed to stop at Poisson arrival times.