English

$L^1$ solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions

Probability 2017-06-06 v1

Abstract

We establish several existence, uniqueness and comparison results for L1L^1 solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under the assumption that the generator gg satisfies a one-sided Osgood condition together with a very general growth condition in yy, a uniform continuity condition and/or a sub-linear growth condition in zz, and a generalized Mokobodzki condition which relates the growth of gg and that of the barriers. This generalized Mokobodzki condition is proved to be necessary for existence of L1L^1 solutions of the reflected BSDEs. We also prove that the L1L^1 solutions of reflected BSDEs can be approximated by the penalization method and by some sequences of L1L^1 solutions of reflected BSDEs. These results strengthen some existing work on the L1L^1 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}
}

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44 pages