Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Optimal switching problem for marked point process and systems of
  reflected BSDE   We formulate an optimal switching problem when the underlying filtration is
generated by a marked point process and a Brownian motion. Each mode is
characterized by a different compensator for the point process, and thus by a
different probability $\mathbb{P}^i$, which form a dominated family. To each
strategy $\mathbf{a}$ of switching times and actions then corresponds a
compensator and a probability $\mathbb{P}^\mathbf{a}$, and the reward is
calculated under this probability. To solve this problem, we define and study a
system of reflected BSDE where the obstacle for each equation depends on the
solution to the others. The main assumption is that the point process is non
explosive and quasi-left continuous. We prove wellposedness of this system
through a Picard iteration method, and then use it to represent the optimal
value function of the switching problem. We also obtain a comparison theorem
for BSDE driven by marked point process and Brownian motion.
  Keywords: reflected backward stochastic differential equations, optimal
stopping, optimal switching, marked point processes.

27
The categories of this paper are: comp-gas
33
The categories of this paper are: plasm-ph
37
The categories of this paper are: supr-con
31
The categories of this paper are: ao-sci
12
The categories of this paper are: nucl-th
32
The categories of this paper are: atom-ph
23
The categories of this paper are: solv-int
25
The categories of this paper are: patt-sol
20
The categories of this paper are: acc-phys
34
The categories of this paper are: chem-ph
10
The categories of this paper are: q-bio
17
The categories of this paper are: q-fin
19
The categories of this paper are: eess
7
The categories of this paper are: hep-th
8
The categories of this paper are: hep-ex
4
The categories of this paper are: cond-mat