BSDEs with monotone generator and two irregular reflecting barriers
BSDEs with monotone generator and two irregular reflecting barriers
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DOI：
10.1016/j.bulsci.2012.06.006
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发表时间：
2013-04
影响因子：
1.3
通讯作者：
Tomasz Klimsiak
中科院分区：
文献类型：
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作者：
Tomasz Klimsiak
我们考虑两个反射不规则障碍的倒向随机微分方程。本文给出了生成元关于y单调，关于z Lipschitz连续，且数据在Lp空间且p ≠ 1的方程的Lp解存在唯一的充要条件.我们还证明了解可以通过惩罚方法近似。
We consider BSDEs with two reflecting irregular barriers. We give necessary and sufficient conditions for existence and uniqueness of Lpsolutions for equations with generators monotone with respect to y and Lipschitz continuous with respect to z, and with data in Lpspaces for p⩾1. We also prove that the solutions can be approximated via penalization method.