Lp-Solutions for Reected Backward Stochastic Differential Equations

Simple item page
dc.creatorHamadene, Said
dc.creatorPopier, Alexandre
dc.date2008-07-11
dc.date.accessioned2026-07-07T09:49:51Z
dc.date.available2026-07-07T09:49:51Z
dc.descriptionThis 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 in ]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.
dc.description32 pages
dc.identifierhttps://arxiv.org/abs/0807.1846
dc.identifierhttp://arxiv.org/abs/0807.1846
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/164741
dc.subjectProbability
dc.titleLp-Solutions for Reected Backward Stochastic Differential Equations
dc.typetext

Files

Collections

arXiv