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

Authors
Citation
Fan, Sheng Jun, Existence, uniqueness and approximation for L p solutions of reflected BSDEs with generators of one-sided Osgood type, Acta mathematica Sinica. English series (Print) , 33(6), 2017, pp. 807-838
ISSN journal
14398516
Volume
33
Issue
6
Year of publication
2017
Pages
807 - 838
Database
ACNP
SICI code
Abstract
We prove several existence and uniqueness results for L p (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.