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arXiv · 1710.02389

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

Tiziano De Angelis·Giorgio Ferrari·Saïd Hamadène
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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 $f_i$ 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 $f_i$ depends on $Z^i$.

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Tiziano De Angelis, Giorgio Ferrari, Saïd Hamadène. 2017-10-06. A note on a new existence result for reflected BSDEs with interconnected obstacles. https://arxiv.org/abs/1710.02389

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