De Angelis, Tiziano Ferrari, Giorgio Hamadène, Saïd
Year of Publication:
Center for Mathematical Economics Working Papers No. 591
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
In this note we prove existence of a solution to a system of Markovian BSDEs with interconnected obstacles. A key feature of our system, and the main novelty of this paper, is that we allow for the driver fi of the i-th component of the Y-process to depend on all components of the Z-process. This extends the existing theory on reflected BSDEs, which only addresses problems where fi depends on Zi.