Obliquely Reflected Backward Stochastic Differential Equations

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Occupancy density; Green’s function; Obliquely reflected Brownian motion in a half- plane; Stationary distribution; Exact Asymptotics; Martin boundary; Laplace transform;

In the second part of our work, we study the auxiliary obliquely reected BSDE, which is written in the Brownian ltration and represents the optimal value in all the possible

Reflected stochastic differential equations have been introduced in the pionneering work of Skorokhod (see [Sko61]), and their numerical approximations by Euler schemes have been

We extend the recent work [2] of Briand, Chaudru de Raynal, Guillin and Labart on the chaos propagation for mean reflected SDEs to the backward framework.. When the driver does

Key-words: Reflected backward stochastic differential equations with jumps,viscosity solution, partial integro-differential variational inequality, optimal stopping,

As an application of the regularity results stated in the last section, we now study the convergence of an Euler scheme approximation method for discretely reflected BSDEs.. Using

Finally, notice that similar arguments as in the lower reflected case allow to prove that wellposedness can be recovered for 2DRBSDEs when the minimality condition (3.4) is replaced