|
Mathematics 2012
L^p solutions of reflected BSDEs under monotonicity conditionDOI: 10.1016/j.spa.2012.07.006 Abstract: We prove existence and uniqueness of L^p solutions 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.
|