Reflected BSDEs in non-convex domains

DOI10.1007/S00440-022-01125-0zbMATH Open1497.60011arXiv2102.06579OpenAlexW4221052443MaRDI QIDQ2159261FDOQ2159261

Jean-Francois Chassagneux, Adrien Richou, Sergey Nadtochiy

Publication date: 28 July 2022

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: This paper establishes the well-posedness of reflected backward stochastic differential equations in the non-convex domains that satisfy a weaker version of the star-shaped property. The main results are established (i) in a Markovian framework with H"older-continuous generator and terminal condition and (ii) in a general setting under a smallness assumption on the input data. We also investigate the connections between this well-posedness result and the theory of martingales on manifolds.

Full work available at URL: https://arxiv.org/abs/2102.06579

zbMATH Keywords

backward stochastic differential equationsreflectionstar-shaped domain

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Diffusion processes (60J60) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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Cited In (4)

• Reflected BSDE's with discontinuous barrier and application
• General existence results for reflected BSDE and BSDE
• Multi-dimensional BSDEs with mean reflection
• SDEs with oblique reflections on nonsmooth domains

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