Lp-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
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.