A note on existence and uniqueness for solutions of multidimensional reflected BSDEs

Jean-François Chassagneux (1, 2) , Romuald Elie (1, 3) , Idris Kharroubi (1, 3)

1 CREST - Centre de Recherche en Économie et Statistique
2 Département de Mathématiques (Evry)
3 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

In this note, we provide an innovative and simple approach for proving the existence of a unique solution for multidimensional reflected BSDEs associated to switching problems. Getting rid of a monotonicity assumption on the driver function, this approach simplifies and extends the recent results of Hu & Tang [4] or Hamadene & Zhang [3].

Mots clés: Switching problems; BSDE with oblique reflections; Switching problems.

Domaines: Probabilités [math.PR]

Jean-François Chassagneux, Romuald Elie, Idris Kharroubi. A note on existence and uniqueness for solutions of multidimensional reflected BSDEs. Electronic Communications in Probability, 2011, 16, pp.120-128. ⟨hal-00573430⟩