Reflected BSDEs in non-convex domains
Reflected BSDEs in non-convex domains
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DOI：
10.1007/s00440-022-01125-0
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发表时间：
2021-02
影响因子：
2
通讯作者：
J. Chassagneux;S. Nadtochiy;A. Richou
中科院分区：
文献类型：
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作者：
J. Chassagneux;S. Nadtochiy;A. Richou
建立了非凸区域上满足弱星形性质的反射倒向随机微分方程的适定性。主要结果建立在（i）具有Hölder连续生成元和终端条件的马尔可夫框架中，以及（ii）在输入数据的小性假设下的一般设置中。我们还研究了这个适定性结果和流形上的鞅理论之间的联系，特别是说明了我们的一些假设的尖锐性。
This paper establishes the well-posedness of reflected backward stochastic differential equations in non-convex domains that satisfy a weak version of the star-shaped property. The main results are established (i) in a Markovian framework with Hölder-continuous generator and terminal condition and (ii) in a general setting under a smallness assumption on the input data. We also investigate the connections between this well-posedness result and the theory of martingales on manifolds, which, in particular, illustrates the sharpness of some of our assumptions.