L^p solutions of reflected BSDEs under monotonicity condition

Andrzej Rozkosz; Leszek Slominski

doi:10.1016/j.spa.2012.07.006

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arXiv · 1205.6737

L^p solutions of reflected BSDEs under monotonicity condition

Andrzej Rozkosz·Leszek Slominski

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Abstract

We prove existence and uniqueness of L^p solutions 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.

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Andrzej Rozkosz, Leszek Slominski. 2012-10-04. L^p solutions of reflected BSDEs under monotonicity condition. https://doi.org/10.1016/j.spa.2012.07.006

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