Obliquely reflected backward stochastic differential equations

In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equations in a non-empty open convex domain, allowing for oblique directions of reflection. In a Markovian framework, combining a priori estimates for penalised equations and compactness arguments, we obtain existence results under quite weak assumptions on the driver of the BSDEs and the direction of reflection, which is allowed to depend on both Y and Z. In a non Markovian framework, we obtain existence and uniqueness result for direction of reflection depending on time and Y in smooth convex domain. We make use in this case of stability estimates that require some regularity conditions on the direction of reflection only.