$\mathbb{L}^p$-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

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article

$\mathbb{L}^p$-solutions $(1 <p< 2)$ for reflected BSDEs with general jumps and stochastic monotone generators

ArXiv.org
Stochastic processes and financial applications
article

$\mathbb{L}^p$-solutions $(1 <p< 2)$ for reflected BSDEs with general jumps and stochastic monotone generators

article en

Abstract

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.

ArXiv.org
Centre National pour la Recherche Scientifique et Technique
Peace, Justice and strong institutions
Openalex Percentile: Top 42%
Stochastic processes and financial applications
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$\mathbb{L}^p$-solutions $(1 <p< 2)$ for reflected BSDEs with general jumps and stochastic monotone generators · ArXiv.org (2025) | TGRS Research Map | TGRS