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Lp-Solution of Generalized Backward Stochastic Differential Equations with Barrier

Volume 8, Number 1 (2009), 68 - 80

Lp-Solution of Generalized Backward Stochastic Differential Equations with Barrier

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Abstract

In this paper, we are interested in solving reflected generalized backward stochastic differential equations (RGBSDEs, in short) with fixed terminal time. The study use some new technical aspects of the stochastic calculus related to the RGBSDEs, already used in [1] for BSDE case (see also [5] for RBSDEs case) to derive a priori estimates. Hence, we prove existence and uniqueness of solution in Lp; p 2 (1;2) by using the L¥-approximation and extending the results of Ren and Xia [12].