Tiziano De Angelis, Giorgio Ferrari, Saïd Hamadène
Published 2017-10-06Version 1
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 $f_i$ 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 $f_i$ depends on $Z^i$.
Reflected BSDEs with monotone generator
Marked Gibbs point processes with unbounded interaction: an existence result
Existence, uniqueness and approximation for $L^p$ solutions of reflected BSDEs under weaker assumptions
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