A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
Résumé
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].
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
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