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.
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| Veröffentlicht | Englisch
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Autor*in
de Angelis, Tiziano;
Ferrari, GiorgioUniBi;
Hamadène, Saïd
Einrichtung
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
2017
Serientitel
Center for Mathematical Economics Working Papers
Band
591
Seite(n)
17
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2930430
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, Tiziano, Ferrari, Giorgio, and Hamadène, Saïd. 2017. A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles. Vol. 591. Center for Mathematical Economics Working Papers. 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.
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2019-09-06T09:19:01Z
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