Backward stochastic differential equations with oblique reflection and local Lipschitz drift

Auguste Aman and Modeste N'Zi

International Journal of Stochastic Analysis, 2003, vol. 16, 1-15

Abstract:

We consider reflected backward stochastic differential equations with time and space dependent coefficients in an orthant, and with oblique reflection. Existence and uniqueness of solution are established assuming local Lipschitz continuity of the drift, Lipschitz continuity and uniform spectral radius conditions on the reflection matrix.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:137259

DOI: 10.1155/S1048953303000248

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