Aug 28 – 31, 2018
Angers - France
Europe/Paris timezone

Some existence and uniqueness results for obliquely reflected BSDEs

Aug 31, 2018, 2:30 PM
Angers - France

Angers - France


Adrien Richou (IMB - Université de Bordeaux)


In this talk, we present some recent results on obliquely reflected BSDEs. In particular we are able to deal with assumptions on the generator weaker than in currently known results. An existence and uniqueness result is obtained in a non Markovian framework by assuming some regularity on the terminal condition. Moreover, a general existence result is obtained in the Markovian framework. We also present an application to some new optimal switching problems called randomised switching problems.
This is a joint work with Jean-François Chassagneux (University of Paris 7)

Primary authors

Adrien Richou (IMB - Université de Bordeaux) Jean-François Chassagneux (Université Paris Diderot)

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