| Autor: |
Chassagneux, Jean-François, Nadtochiy, Sergey, Richou, Adrien |
| Rok vydání: |
2021 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
This paper establishes the well-posedness of reflected backward stochastic differential equations in the non-convex domains that satisfy a weaker version of the star-shaped property. The main results are established (i) in a Markovian framework with H\"older-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. |
| Databáze: |
arXiv |
| Externí odkaz: |
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