L$^{p}$-solution of reflected generalized BSDEs with non-Lipschitz coefficients

Auguste Aman (1)

1 LMAI - Laboratoire de Mathématiques Appliquées et Informatique

In this paper, we continue in solving reflected generalized backward stochastic differential equations (RGBSDE for short) and fixed terminal time with use some new technical aspects of the stochastic calculus related to the reflected generalized BSDE. Here, existence and uniqueness of solution is proved under a non-Lipschitz condition on the coefficients.

Mots clés: Reflected generalized backward stochastic differential equations; $p$-integrable data; non-Lipschitz coefficient

Domaines: Probabilités [math.PR]

Auguste Aman. L$^{p}$-solution of reflected generalized BSDEs with non-Lipschitz coefficients. 2009. ⟨hal-00403664⟩