School of Mathematical Sciences

A new existence result for reflected BSDEs with interconnected obstacles menu

A new existence result for reflected BSDEs with interconnected obstacles

Speaker: 
Said Hamadene (Universite du Maine)
Date/Time: 
Wed, 08/11/2017 - 14:00
Room: 
W316, Queen's Building

In this talk 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 $Z^i$.

This is a joint work with De Angelis T. (University of Leeds, UK) and G.Ferrari (Univ. of Bielfeld, Germany).