Martingales On A Euclidean Manifold With A Boundary And Reflected BSDES In Non-Convex Domains

Marc Arnaudon, Jean-François Chassagneux, Sergey Nadtochiy +1

The purpose of this paper is twofold. First, we introduce the notion of a $\hat{I}“$-martingale on a Euclidean manifold with a boundary (i.e., the closure of an open connected domain in…