A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles

Tiziano de Angelis, Giorgio Ferrari and Saïd Hamadène
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Tiziano de Angelis: Center for Mathematical Economics, Bielefeld University
Giorgio Ferrari: Center for Mathematical Economics, Bielefeld University
Saïd Hamadène: Center for Mathematical Economics, Bielefeld University

No 591, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

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 ƒ *i* 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 ƒ *i* depends on *Z* *i* .

Pages: 17
Date: 2018-08-15
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https://pub.uni-bielefeld.de/download/2930430/2930432 First Version, 2017 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:591

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