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2012 Reflected BSDEs with monotone generator
Tomasz Klimsiak
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Electron. J. Probab. 17: 1-25 (2012). DOI: 10.1214/EJP.v17-1759

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.

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Tomasz Klimsiak. "Reflected BSDEs with monotone generator." Electron. J. Probab. 17 1 - 25, 2012. https://doi.org/10.1214/EJP.v17-1759

Information

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

zbMATH: 1288.60072
MathSciNet: MR3015691
Digital Object Identifier: 10.1214/EJP.v17-1759

Subjects:
Primary: 60H20
Secondary: 60F25

JOURNAL ARTICLE
25 PAGES


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Vol.17 • 2012
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