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)]
< Leer menos
Université Paris Diderot - Paris 7 [UPD7]
Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
Idioma
en
Article de revue
Este ítem está publicado en
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques. 2020
Institut Henri Poincaré (IHP)
Fecha de defensa
2020Resumen en inglés
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, ...Leer más >
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.< Leer menos
Palabras clave en inglés
BSDE with oblique reflections MSC Classification (2000): 93E20
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