$\mathbb{L}^p$-solutions $(1 <p< 2)$ for reflected BSDEs with general jumps and stochastic monotone generators
We consider a one-reflected backward stochastic differential equation with a general RCLL barrier in a filtration that supports a Brownian motion and an independent Poisson random measure. We establish the existence and uniqueness of a solution in $\mathbb{L}^p$ for $p \in (1,2)$. The result is obtained by means of the penalization method, under the assumption that the coefficient is stochastically monotone with respect to the state variable $y$, stochastically Lipschitz with respect to the control variables $(z,u)$, and satisfies suitable linear growth and $p$-integrability conditions.
Publication Details
- Journal
- ArXiv.org
- Published
- 2025-04-21
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- Centre National pour la Recherche Scientifique et Technique