Reflected BSDEs in non-convex domains

نویسندگان

چکیده

This paper establishes the well-posedness of reflected backward stochastic differential equations in non-convex domains that satisfy a weak version star-shaped property. The main results are established (i) Markovian framework with Hölder-continuous generator and terminal condition (ii) general setting under smallness assumption on input data. We also investigate connections between this result theory martingales manifolds, which, particular, illustrates sharpness some our assumptions.

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ژورنال

عنوان ژورنال: Probability Theory and Related Fields

سال: 2022

ISSN: ['0178-8051', '1432-2064']

DOI: https://doi.org/10.1007/s00440-022-01125-0