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A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles

Author

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  • de Angelis, Tiziano

    (Center for Mathematical Economics, Bielefeld University)

  • Ferrari, Giorgio

    (Center for Mathematical Economics, Bielefeld University)

  • Hamadène, Saïd

    (Center for Mathematical Economics, Bielefeld University)

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 ƒ *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 ƒ *i* depends on *Z* *i* .

Suggested Citation

  • de Angelis, Tiziano & Ferrari, Giorgio & Hamadène, Saïd, 2018. "A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles," Center for Mathematical Economics Working Papers 591, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:591
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    File URL: https://pub.uni-bielefeld.de/download/2930430/2930432
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    References listed on IDEAS

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