Lp-Solutions for Reected Backward Stochastic Differential Equations

Details Lp-Solutions for Reected Backward Stochastic Differential Equations Lp-Solutions for Reected Backward Stochastic Differential Equations

2008-07-11

arxiv.org/abs/0807.1846v1

Mathematics

Probability

32 pages

Scientific paper

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.

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