Lp solutions of reflected BSDEs under monotonicity condition
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References listed on IDEAS
- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
- Duffie, Darrel & Lions, Pierre-Louis, 1992. "PDE solutions of stochastic differential utility," Journal of Mathematical Economics, Elsevier, vol. 21(6), pages 577-606.
- Briand, Ph. & Delyon, B. & Hu, Y. & Pardoux, E. & Stoica, L., 2003. "Lp solutions of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 108(1), pages 109-129, November.
- Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, vol. 60(2), pages 353-394, March.
- Duffie, Darrell & Epstein, Larry G, 1992. "Asset Pricing with Stochastic Differential Utility," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 411-436.
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- Klimsiak, Tomasz, 2015. "Reflected BSDEs on filtered probability spaces," Stochastic Processes and their Applications, Elsevier, vol. 125(11), pages 4204-4241.
- Klimsiak, Tomasz & Rozkosz, Andrzej & Słomiński, Leszek, 2015. "Reflected BSDEs in time-dependent convex regions," Stochastic Processes and their Applications, Elsevier, vol. 125(2), pages 571-596.
- repec:eee:spapps:v:128:y:2018:i:2:p:644-688 is not listed on IDEAS
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KeywordsReflected backward stochastic differential equations; Monotonicity condition; p-integrable data;
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