A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
Chassagneux, Jean-François; Kharroubi, Idris; Elie, Romuald (2011), A note on existence and uniqueness for solutions of multidimensional reflected BSDEs, Electronic Communications in Probability, 16, p. 120-128. http://dx.doi.org/10.1214/ECP.v16-1614
TypeArticle accepté pour publication ou publié
Journal nameElectronic Communications in Probability
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Abstract (EN)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).
Subjects / KeywordsBDEs
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