Lp-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS - Archive ouverte HAL
Article Dans Une Revue Stochastics and Dynamics Année : 2012

Lp-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

Alexandre Popier
Said Hamadène

Résumé

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 ∈ ]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.

Dates et versions

hal-01636326 , version 1 (16-11-2017)

Identifiants

Citer

Alexandre Popier, Said Hamadène. Lp-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS. Stochastics and Dynamics, 2012, 12 (02), pp.1150016. ⟨10.1142/S0219493712003651⟩. ⟨hal-01636326⟩
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