A note on existence and uniqueness for solutions of multidimensional reflected BSDEs

By Jean-François Chassagneux, Romuald Elie, Idris Kharroubi. 2011

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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).

Subfields: Control and Systems Engineering, Finance, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/b0102f33daa7198e5308026ee48958cb957c7001