| Título: | A note on existence and uniqueness for solutions of multidimensional reflected BSDEs |
| Autores: |
Chassagneux, Jean François; Université d'Evry - Val d'Essonne Elie, Romuald; Université Paris Dauphine Kharroubi, Idris; Université Paris Dauphine |
| Fecha: | 2011-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
BSDE with oblique reflections; Switching problems 93E20; 65C99; 60H30 |
| Descripción: | 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). |
| Idioma: | No aplica |
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