L$^{p}$-solution of reflected generalized BSDEs with non-Lipschitz coefficients

Auguste Aman

L$^{p}$-solution of reflected generalized BSDEs with non-Lipschitz coefficients

Probability 2009-07-14 v1

Authors: Auguste Aman

Abstract

In this paper, we continue in solving reflected generalized backward stochastic differential equations (RGBSDE for short) and fixed terminal time with use some new technical aspects of the stochastic calculus related to the reflected generalized BSDE. Here, existence and uniqueness of solution is proved under a non-Lipschitz condition on the coefficients.

Keywords

reflected backward stochastic differential equations backward stochastic differential equations partial differential equations

Cite

@article{arxiv.0907.2032,
  title  = {L$^{p}$-solution of reflected generalized BSDEs with non-Lipschitz coefficients},
  author = {Auguste Aman},
  journal= {arXiv preprint arXiv:0907.2032},
  year   = {2009}
}

Comments

20 page; submitted to Random operator and stochastic equations

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