Journal of Applied Mathematics and Stochastic Analysis
Volume 16 (2003), Issue 4, Pages 295-309
doi:10.1155/S1048953303000248
Backward stochastic differential equations with oblique reflection and local Lipschitz drift
URF de Mathématiques et Informatique, 22 BP 582, Abidjan 22, Cote D'Ivoire
Received 1 January 2003; Revised 1 September 2003
Copyright © 2003 Auguste Aman and Modeste N'Zi. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
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.