A note on a new existence result for reflected BSDEs with interconnected\n obstacles

2017/10/06 by Tiziano De Angelis, Giorgio Ferrari, De Angelis, Tiziano +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Capital Investment and Risk Analysis #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1710.02389

openalex publication_date 2017/10/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this note we prove existence of a solution to a system of Markovian BSDEs\nwith interconnected obstacles. A key feature of our system, and the main\nnovelty of this paper, is that we allow for the driver f_i of the i-th\ncomponent of the Y-process to depend on all components of the Z-process.\nThis extends the existing theory on reflected BSDEs, which only addresses\nproblems where f_i depends on Zⁱ.\n

Citations

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