A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles
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<sub>*i*</sub> 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<sub>*i*</sub> depends on *Z*<sup>*i*</sup>.
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Center for Mathematical Economics
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