An existence theorem for multidimensional BSDEs with mixed reflections (Q338066): Difference between revisions

In this note, the author considers a pricing model, where the investor has the possibility to switch between different investment modes and to abandon the investment project before maturity. The value of the option can be obtained from a system of reflected BSDEs. It is shown that this system admits a (component-wise) minimal solution. In comparison to a former work on the subject by \textit{S. Tang} et al. [SIAM J. Control Optim. 49, No. 6, 2279--2317 (2011; Zbl 1235.93263)], the price process is bounded from below by a barrier (and not from above) and the driver of the BSDEs is only left-Lipschitz in \(y\) instead of Lipschitz. The lack of a uniqueness result in the present framework comes from these relaxed assumptions.