Lp-Solutions for Reected Backward Stochastic Differential Equations
Probability
2008-07-14 v1
Abstract
This paper deals with the problem of existence and uniqueness of a solution for a backward stochastic differential equation (BSDE for short) with one reflecting barrier in the case when the terminal value, the generator and the obstacle process are Lp-integrable with p in ]1,2[. To construct the solution we use two methods: penalization and Snell envelope. As an application we broaden the class of functions for which the related obstacle partial differential equation problem has a unique viscosity solution.
Keywords
Cite
@article{arxiv.0807.1846,
title = {Lp-Solutions for Reected Backward Stochastic Differential Equations},
author = {Said Hamadene and Alexandre Popier},
journal= {arXiv preprint arXiv:0807.1846},
year = {2008}
}
Comments
32 pages