$L^1$ solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
Abstract
We establish several existence, uniqueness and comparison results for solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under the assumption that the generator satisfies a one-sided Osgood condition together with a very general growth condition in , a uniform continuity condition and/or a sub-linear growth condition in , and a generalized Mokobodzki condition which relates the growth of and that of the barriers. This generalized Mokobodzki condition is proved to be necessary for existence of solutions of the reflected BSDEs. We also prove that the solutions of reflected BSDEs can be approximated by the penalization method and by some sequences of solutions of reflected BSDEs. These results strengthen some existing work on the solutions of non-reflected BSDEs and reflected BSDEs.
Keywords
Cite
@article{arxiv.1706.00966,
title = {$L^1$ solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions},
author = {ShengJun Fan},
journal= {arXiv preprint arXiv:1706.00966},
year = {2017}
}
Comments
44 pages