BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH OBLIQUE REFLECTION AND LOCAL LIPSCHITZ DRIFT

Auguste Aman (1) , Modeste Nzi (1)

1 LMAI - Laboratoire de Mathématique Appliquées et informatiques

We consider reflected backward stochastic differential equations with time and space dependent coefficients in an orthant, and with oblique reflection. Existence and uniqueness of solution are established assuming local Lipschitz continuity of the drift, Lipschitz continuity and uniform spectral radius conditions on the reflection matrix.

Mots clés: Brownian Motion; Backward Stochastic Differential Equations; Oblique Reflection; Brownian Motion.

Domaines: Probabilités [math.PR]

Auguste Aman, Modeste Nzi. BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH OBLIQUE REFLECTION AND LOCAL LIPSCHITZ DRIFT. Journal of Applied Mathematics and Stochastic Analysis, 2003, 16 (4), pp.295-309. ⟨10.1155/S1048953303000248⟩. ⟨hal-00195838⟩