Infinite Horizon Multi-Dimensional BSDE with Oblique Reflection and Switching Problem

Abstract

This paper studies a system of multi-dimensional reflected backward stochastic differential equations with oblique reflections (RBSDEs for short) in infinite horizon associated to switching problems. The existence and uniqueness of the adapted solution is obtained by using a method based oa combination of penalization, verification method and contraction property.

18 pages. Reflected backward stochastic differential equations, Switching problem, Backward stochastic differential equations, Infinite horizon, Oblique reflection. Accepted in Stochastics and Dynamics (SD)