A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles

de Angelis T, Ferrari G, Hamadène S (2017) Center for Mathematical Economics Working Papers; 591.
Bielefeld: Center for Mathematical Economics.

Download
OA 396.40 KB
Diskussionspapier | Veröffentlicht | Englisch
Volltext vorhanden für diesen Nachweis
Autor
; ;
Abstract / Bemerkung
In this note we prove existence of a solution to a system of Markovian BSDEs with interconnected obstacles. A key feature of our system, and the main novelty of this paper, is that we allow for the driver ƒ*i* of the *i*-th component of the *Y* -process to depend on all components of the *Z*-process. This extends the existing theory on reflected BSDEs, which only addresses problems where ƒ*i* depends on *Z**i*.
Erscheinungsjahr
Band
591
Seite(n)
17
ISSN
PUB-ID

Zitieren

de Angelis T, Ferrari G, Hamadène S. A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles. Center for Mathematical Economics Working Papers. Vol 591. Bielefeld: Center for Mathematical Economics; 2017.
de Angelis, T., Ferrari, G., & Hamadène, S. (2017). A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles (Center for Mathematical Economics Working Papers, 591). Bielefeld: Center for Mathematical Economics.
de Angelis, T., Ferrari, G., and Hamadène, S. (2017). A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles. Center for Mathematical Economics Working Papers, 591, Bielefeld: Center for Mathematical Economics.
de Angelis, T., Ferrari, G., & Hamadène, S., 2017. A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles, Center for Mathematical Economics Working Papers, no.591, Bielefeld: Center for Mathematical Economics.
T. de Angelis, G. Ferrari, and S. Hamadène, A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles, Center for Mathematical Economics Working Papers, vol. 591, Bielefeld: Center for Mathematical Economics, 2017.
de Angelis, T., Ferrari, G., Hamadène, S.: A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles. Center for Mathematical Economics Working Papers, 591. Center for Mathematical Economics, Bielefeld (2017).
de Angelis, Tiziano, Ferrari, Giorgio, and Hamadène, Saïd. A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles. Bielefeld: Center for Mathematical Economics, 2017. Center for Mathematical Economics Working Papers. 591.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Copyright Statement:
This Item is protected by copyright and/or related rights. [...]
Volltext(e)
Access Level
OA Open Access
Zuletzt Hochgeladen
2018-08-15T14:20:52Z

Export

Markieren/ Markierung löschen
Markierte Publikationen

Open Data PUB

Suchen in

Google Scholar