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http://dx.doi.org/10.4134/BKMS.b150311

Lp-SOLUTIONS FOR REFLECTED BSDES WITH TIME DELAYED GENERATORS  

Zhou, Qing (School of Science Beijing University of Posts and Telecommunications)
Publication Information
Bulletin of the Korean Mathematical Society / v.53, no.3, 2016 , pp. 793-819 More about this Journal
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.
Keywords
reflected backward stochastic differential equation; time delayed generator; fixed point theorem;
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