Lp solutions of reflected BSDEs under monotonicity condition
AbstractWe 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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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 122 (2012)
Issue (Month): 12 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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