Abstract
In this note, we provide an innovative and simple approach for proving the existence of a unique solution for multidimensional reflected BSDEs associated to switching problems. Getting rid of a monotonicity assumption on the driver function, this approach simplifies and extends the recent results of Hu and Tang (2008) or Hamadene and Zhang (2010).
Citation
Jean François Chassagneux. Romuald Elie. Idris Kharroubi. "A note on existence and uniqueness for solutions of multidimensional reflected BSDEs." Electron. Commun. Probab. 16 120 - 128, 2011. https://doi.org/10.1214/ECP.v16-1614
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