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arXiv · 1810.03397

BSDEs with monotone generator and two irregular reflecting barriers

Tomasz Klimsiak
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Abstract

We consider BSDEs with two reflecting irregular barriers. We give necessary and sufficient conditions for existence and uniqueness of $\mathbb{L}^{p}$ solutions for equations with generators monotone with respect to $y$ and Lipschitz continuous with respect to $z$, and with data in $\mathbb{L}^{p}$ spaces for $p\ge 1$. We also prove that the solutions can be approximated via penalization method.

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Tomasz Klimsiak. 2018-10-08. BSDEs with monotone generator and two irregular reflecting barriers. https://arxiv.org/abs/1810.03397

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