Obliquely Reflected Backward Stochastic Differential Equations
CHASSAGNEUX, Jean-François
Université Paris Diderot - Paris 7 [UPD7]
Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
Université Paris Diderot - Paris 7 [UPD7]
Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
CHASSAGNEUX, Jean-François
Université Paris Diderot - Paris 7 [UPD7]
Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
< Reduce
Université Paris Diderot - Paris 7 [UPD7]
Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
Language
en
Article de revue
This item was published in
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques. 2020
Institut Henri Poincaré (IHP)
Date
2020English Abstract
In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equations in an open convex domain, allowing for oblique directions of reflection. In a Markovian framework, ...Read more >
In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equations in an open convex domain, allowing for oblique directions of reflection. In a Markovian framework, combining a priori estimates for penalised equations and compactness arguments, we obtain existence results under quite weak assumptions on the driver of the BSDEs and the direction of reflection, which is allowed to depend on both Y and Z. In a non Markovian framework, we obtain existence and uniqueness result for direction of reflection depending on time and Y. We make use in this case of stability estimates that require some smoothness conditions on the domain and the direction of reflection.Read less <
English Keywords
BSDE with oblique reflections MSC Classification (2000): 93E20
Origin
Hal imported