A note on a new existence result for reflected BSDEs with interconnected obstacles
Probability
2017-10-09 v1
Abstract
In this note we prove existence of a solution to a system of Markovian BSDEs with interconnected obstacles. A key feature of our system, and the main novelty of this paper, is that we allow for the driver of the -th component of the -process to depend on all components of the -process. This extends the existing theory on reflected BSDEs, which only addresses problems where depends on .
Cite
@article{arxiv.1710.02389,
title = {A note on a new existence result for reflected BSDEs with interconnected obstacles},
author = {Tiziano De Angelis and Giorgio Ferrari and Saïd Hamadène},
journal= {arXiv preprint arXiv:1710.02389},
year = {2017}
}
Comments
16 pages