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

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 : Bielefeld University, Center for Mathematical Economics (IMW)

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Series:	Center for Mathematical Economics Working Papers ; 591
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1029481687 [GVK] hdl:10419/201616 [Handle] RePEc:bie:wpaper:591 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10012042130