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arxiv: 1205.6737 · v2 · pith:WAVOS3KXnew · submitted 2012-05-30 · 🧮 math.PR

L^p solutions of reflected BSDEs under monotonicity condition

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keywords conditionmonotonicityreflectedsolutionsapproximatedbackwardbsdescase
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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.

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