A note on a new existence result for reflected BSDES with interconnected obstacles

Tiziano de Angelis, Giorgio Ferrari and Saïd Hamadène

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 fi of the i-th component of the Y-process to depend on all components of the Z-process. This extends the existing theory on reflected BSDEs, which only addresses problems where fi depends on Zi.

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Year of publication:	2017
Authors:	De Angelis, Tiziano ; Ferrari, Giorgio ; Hamadène, Saïd
Publisher:	Bielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University

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Extent:	1 Online-Ressource (circa 17 Seiten)
Series:	Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW). - Bielefeld : IMW, ISSN 2942-9536, ZDB-ID 2437810-0. - Vol. 591 (Oktober 2017)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/201616 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011892163