Obliquely Reflected BSDEs

arXiv1710.08989MaRDI QIDQ6292986FDOQ6292986

Authors: Jean-Francois Chassagneux, Adrien Richou 

Publication date: 24 October 2017

Abstract: In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equation in an open convex domain, allowing for oblique directions of reflection. In a Markovian framework, combining emph{a priori} estimates for penalised equations and compactness arguments, we obtain existence results under quite weak assumptions on the driver of the BSDEs and the direction of reflection, which is allowed to depend on both $Y$ and $Z$. In a non Markovian framework, we obtain existence and uniqueness result for direction of reflection depending on time and $Y$. We make use in this case of stability estimates that require some smoothness condition on the domain and the direction of reflection. In a last Section, we illustrate the application of our theoretical results by introducing randomised switching problems.

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