Reflected BSDEs in non-convex domains
Probability
2021-02-15 v1
Abstract
This paper establishes the well-posedness of reflected backward stochastic differential equations in the non-convex domains that satisfy a weaker version of the star-shaped property. The main results are established (i) in a Markovian framework with H\"older-continuous generator and terminal condition and (ii) in a general setting under a smallness assumption on the input data. We also investigate the connections between this well-posedness result and the theory of martingales on manifolds.
Keywords
Cite
@article{arxiv.2102.06579,
title = {Reflected BSDEs in non-convex domains},
author = {Jean-François Chassagneux and Sergey Nadtochiy and Adrien Richou},
journal= {arXiv preprint arXiv:2102.06579},
year = {2021}
}