Lp solutions of reflected BSDEs under monotonicity condition

Andrzej Rozkosz and Leszek Słomiński

Stochastic Processes and their Applications, 2012, vol. 122, issue 12, 3875-3900

Abstract: We prove existence and uniqueness of Lp solutions, p∈[1,2], of reflected backward stochastic differential equations with p-integrable data and generators satisfying the monotonicity condition. We also show that the solution may be approximated by the penalization method. Our results are new even in the classical case p=2.

Keywords: Reflected backward stochastic differential equations; Monotonicity condition; p-integrable data (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:122:y:2012:i:12:p:3875-3900

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DOI: 10.1016/j.spa.2012.07.006

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