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Existence, uniqueness and approximation for L solutions of reflected BSDEs with generators of one-sided Osgood type.

Authors :
Fan, Sheng
Source :
Acta Mathematica Sinica; Jun2017, Vol. 33 Issue 6, p807-838, 32p
Publication Year :
2017

Abstract

We prove several existence and uniqueness results for L ( p > 1) solutions of reflected BSDEs with continuous barriers and generators satisfying a one-sided Osgood condition together with a general growth condition in y and a uniform continuity condition or a linear growth condition in z. A necessary and sufficient condition with respect to the growth of barrier is also explored to ensure the existence of a solution. And, we show that the solutions may be approximated by the penalization method and by some sequences of solutions of reflected BSDEs. These results are obtained due to the development of those existing ideas and methods together with the application of new ideas and techniques, and they unify and improve some known works. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
14398516
Volume :
33
Issue :
6
Database :
Complementary Index
Journal :
Acta Mathematica Sinica
Publication Type :
Academic Journal
Accession number :
122941082
Full Text :
https://doi.org/10.1007/s10114-016-6281-x