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

Jean François Chassagneux (Université d'Evry - Val d'Essonne)
Romuald Elie (Université Paris Dauphine)
Idris Kharroubi (Université Paris Dauphine)

Abstract


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 and Tang (2008) or Hamadene and Zhang (2010).

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Pages: 120-128

Publication Date: December 6, 2011

DOI: 10.1214/ECP.v16-1614

References

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