Lp -solution of reflected generalized BSDEs with non-Lipschitz coefficients

DOI10.1515/ROSE.2009.015zbMath1224.60063arXiv0907.2032OpenAlexW2963481138MaRDI QIDQ3077699

Auguste Aman

Publication date: 22 February 2011

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.2032

zbMATH Keywords

reflected generalized backward stochastic differential equationsnon-Lipschitz coefficientp-integrable data

Mathematics Subject Classification ID

Stochastic integral equations (60H20) (L^p)-limit theorems (60F25)

Related Items (8)

Reflected backward stochastic differential equations with perturbations ⋮ Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type ⋮ Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients ⋮ BSDEs with monotone generator and two irregular reflecting barriers ⋮ 𝕃^p solutions of reflected backward stochastic differential equations with jumps ⋮ \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition ⋮ L^p-Variational solutions of multivalued backward stochastic differential equations ⋮ \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method

Uses Software

• DIASPORA

Cites Work

• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• Backward stochastic differential equations with continuous coefficient
• Generalized BSDEs and nonlinear Neumann boundary value problems
• BSDEs with polynomial growth generators
• \(L^p\) solutions of backward stochastic differential equations.
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Backward Stochastic Differential Equations in Finance
• Reflected BSDE's with discontinuous barrier and application

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