Electronic Journal of Probability

Reflected BSDEs with monotone generator

Tomasz Klimsiak

Full-text: Open access

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 maybe approximated by the penalization method.

Article information

Source
Electron. J. Probab., Volume 17 (2012), paper no. 107, 25 pp.

Dates
Accepted: 23 December 2012
First available in Project Euclid: 4 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejp/1465062429

Digital Object Identifier
doi:10.1214/EJP.v17-1759

Mathematical Reviews number (MathSciNet)
MR3015691

Zentralblatt MATH identifier
1288.60072

Subjects
Primary: 60H20: Stochastic integral equations
Secondary: 60F25: $L^p$-limit theorems

Keywords
Reflected backward stochastic differential equation monotone generator Lp-solutions

Rights
This work is licensed under aCreative Commons Attribution 3.0 License.

Citation

Klimsiak, Tomasz. Reflected BSDEs with monotone generator. Electron. J. Probab. 17 (2012), paper no. 107, 25 pp. doi:10.1214/EJP.v17-1759. https://projecteuclid.org/euclid.ejp/1465062429


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