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2011 A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
Jean François Chassagneux, Romuald Elie, Idris Kharroubi
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Electron. Commun. Probab. 16: 120-128 (2011). DOI: 10.1214/ECP.v16-1614

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).

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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

Information

Accepted: 6 December 2011; Published: 2011
First available in Project Euclid: 7 June 2016

zbMATH: 1232.93095
MathSciNet: MR2775350
Digital Object Identifier: 10.1214/ECP.v16-1614

Subjects:
Primary: 93E20
Secondary: 60H30, 65C99

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