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A note on existence and uniqueness for solutions of multidimensional reflected BSDEs


 
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1. Title Title of document A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
 
2. Creator Author's name, affiliation, country Jean François Chassagneux; Université d'Evry - Val d'Essonne
 
2. Creator Author's name, affiliation, country Romuald Elie; Université Paris Dauphine
 
2. Creator Author's name, affiliation, country Idris Kharroubi; Université Paris Dauphine
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) BSDE with oblique reflections; Switching problems
 
3. Subject Subject classification 93E20; 65C99; 60H30
 
4. Description Abstract 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).
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) EUROPEAN RESEARCH COUNCIL;
 
7. Date (YYYY-MM-DD) 2011-12-06
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1614
 
10. Identifier Digital Object Identifier 10.1214/ECP.v16-1614
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 16
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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