Lp-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
2012 ◽
Vol 12
(02)
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pp. 1150016
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Keyword(s):
This paper deals with the problem of existence and uniqueness of a solution for a backward stochastic differential equation (BSDE for short) with one reflecting barrier in the case when the terminal value, the generator and the obstacle process are Lp-integrable with p ∈ ]1, 2[. To construct the solution we use two methods: penalization and Snell envelope. As an application we broaden the class of functions for which the related obstacle partial differential equation problem has a unique viscosity solution.
2020 ◽
Vol 28
(1)
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pp. 63-77
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2018 ◽
Vol 26
(3)
◽
pp. 143-161
2014 ◽
Vol 15
(01)
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pp. 1550002
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2019 ◽
Vol 4
(2)
◽
pp. 387-394
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2010 ◽
Vol 36
(1-2)
◽
pp. 1-10
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2019 ◽
Vol 4
(1)
◽
pp. 139-150
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2006 ◽
Vol 2006
◽
pp. 1-25
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