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arXiv · 1810.03404

Reflected BSDEs with monotone generator

Tomasz Klimsiak
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Abstract

We give necessary and sufficient condition for existence and uniqueness of $\mathbb{L}^{p}$-solutions of reflected BSDEs with continuous barrier, generator monotone with respect to $y$ and Lipschitz continuous with respect to $z$, and with data in $\mathbb{L}^{p}$, $p\ge 1$. We also prove that the solutions may be approximated by the penalization method.

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Tomasz Klimsiak. 2018-10-08. Reflected BSDEs with monotone generator. https://arxiv.org/abs/1810.03404

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