BSDEs with monotone generator and two irregular reflecting barriers
By Tomasz Klimsiak. 2013
53 citations recorded by the source corpus.
Abstract We consider BSDEs with two reflecting irregular barriers. We give necessary and sufficient conditions for existence and uniqueness of L p solutions for equations with generators monotone with respect to y and Lipschitz continuous with respect to z , and with data in L p spaces for p ⩾ 1 . We also prove that the solutions can be approximated via penalization method.
Subfields: Applied Mathematics, Computational Mechanics, Finance
View Paper: https://www.semanticscholar.org/paper/8fc067b4af3e188c67ccdfab70f19d59b40149cd
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In Applied Mathematics
In Finance
Citations in the corpus
- Reflected BSDEs on filtered probability spaces (2014, methodology): “in [11, 10, 15, 24], whereas equations with Lp-data and p ∈ [1, 2] in [7, 11, 10, 24].”