Backward stochastic differential equations with oblique reflection and local Lipschitz drift

[摘要] We consider reflected backward stochastic differential equations with time and space dependent coefficients in an orthant, and with oblique reflection. Existence and uniqueness of solution are established assuming local Lipschitz continuity of the drift, Lipschitz continuity and uniform spectral radius conditions on the reflection matrix.

[学科分类] 应用数学