Lp solutions of reflected BSDEs under monotonicity condition

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.

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Year of publication:	2012
Authors:	Rozkosz, Andrzej ; Słomiński, Leszek
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 12, p. 3875-3900
Publisher:	Elsevier
Subject:	Reflected backward stochastic differential equations \| Monotonicity condition \| p-integrable data

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011064919