Title of article :
solutions of reflected BSDEs under monotonicity condition
Author/Authors :
Andrzej Rozkosz، نويسنده , , Andrzej and S?omi?ski، نويسنده , , Leszek، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2012
Abstract :
We prove existence and uniqueness of L p solutions, p ∈ [ 1 , 2 ] , of reflected backward stochastic differential equations with p -integrable data and generators satisfying the monotonicity condition. We also show that the solution may be approximated by the penalization method. Our results are new even in the classical case p = 2 .
Keywords :
Reflected backward stochastic differential equations , Monotonicity condition , p -integrable data
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications