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Solutions of reflected BSDEs under monotonicity condition

by: Andrzej Rozkosz, Leszek Słomiński
Stochastic Processes and their Applications, Vol. 122, No. 12. (December 2012), pp. 3875-3900, doi:10.1016/j.spa.2012.07.006  Key: citeulike:11059020

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Abstract

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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