Abstract: We give necessary and sufficient condition for existence and uniqueness of -solutions of reflected BSDEs with continuous barrier, generator monotone with respect to and Lipschitz continuous with respect to , and with data in , . We also prove that the solutions may be approximated by the penalization method.
Well-posedness of \(L^p\) solutions to a backward stochastic differential equation with a continuous barrier is established under certain regularity and monotonicity conditions on the coefficients. The proof uses a priori estimates and comparison arguments. An approximation result is also established.
Recommendations
- Backward stochastic differential equations with reflection and weak assumptions on the coefficients
- \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition
- Reflected backward SDEs with two barriers under monotonicity and general increasing conditions
- \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
- BSDEs with monotone generator and two irregular reflecting barriers
Cited in
(34)- A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
- Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
- American options in nonlinear markets
- Backward stochastic differential equations with mean reflection and two constraints
- Mean-field anticipated BSDEs driven by time-changed Lévy noises
- Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs
- Backward stochastic differential equations with two barriers and generalized reflection
- A general comparison theorem for reflected BSDEs
- \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
- Reflected backward stochastic differential equations with two optional barriers
- \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
- Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
- Reflected BSDEs with regulated trajectories
- Reflected backward SDEs with two barriers under monotonicity and general increasing conditions
- Reflected BSDEs in time-dependent convex regions
- Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
- Existence and uniqueness for \(\mathbb{D}\)-solutions of reflected BSDEs with two barriers without Mokobodzki's condition
- BSDEs with monotone generator and two irregular reflecting barriers
- Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
- Reflected BSDEs on filtered probability spaces
- Reflected and doubly reflected BSDEs driven by RCLL martingales
- \(\mathbb{L}^{p}\) solutions of reflected backward stochastic differential equations with jumps
- Reflected BDSDEs with stochastic monotone generator and application to valuing American options
- \(L^{p}\)-solutions for reflected backward stochastic differential equations
- Optimal stopping under g-Expectation with -integrable reward process
- Existence and uniqueness of solutions for multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators
- Backward doubly-stochastic differential equations with mean reflection
- Reflections on BSDEs
- \(L^p\) solution of reflected BSDEs with one continuous barrier and quasi-linear growth generators
- Mean reflected backward stochastic partial differential equations
- Mokobodzki's intervals: an approach to Dynkin games when value process is not a semimartingale
- Mean reflected backward stochastic differential equations with jumps in a convex domain
- \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition
- Backward stochastic differential equations with reflection and weak assumptions on the coefficients
This page was built for publication: Reflected BSDEs with monotone generator
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q392698)