BSDEs with monotone generator and two irregular reflecting barriers

作者：Klimsiak Tomasz^*

来源：Bulletin des Sciences Mathematiques, 2013, 137(3): 268-321.

DOI：10.1016/j.bulsci.2012.06.006

• Reflected backward stochastic differential equation
• Monotone generator
• L-p solutions

We consider BSDEs with two reflecting irregular barriers. We give necessary and sufficient conditions for existence and uniqueness of L-p solutions for equations with generators monotone with respect to y and Lipschitz continuous with respect to z, and with data in L-p spaces for p >= 1. We also prove that the solutions can be approximated via penalization method.

• 出版日期2013-5