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$L^p$-solutions for reflected BSDEs with time delayed generators

Qing Zhou
대한수학회 (The Korean Mathematical Society)|2016.05|대한수학회보 (Bulletin of the KMS)|제53권 제3호|pp. 793-819

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참고문헌

키워드

fixed point theoremtime delayed generator
주제분류수학

초록

In this paper, we establish the existence and uniqueness of the solution for a class of reflected backward stochastic differential equations with time delayed generator (RBSDEs with time delayed generator, in short) in the case when the terminal value and the obstacle process are $L^p$-integrable with $p \in ]1,2[$ for a sufficiently small Lipschitz constant of the generator and the time horizon $T$.

Abstract

In this paper, we establish the existence and uniqueness of the solution for a class of reflected backward stochastic differential equations with time delayed generator (RBSDEs with time delayed generator, in short) in the case when the terminal value and the obstacle process are $L^p$-integrable with $p \in ]1,2[$ for a sufficiently small Lipschitz constant of the generator and the time horizon $T$.

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