Reflected Backward Stochastic Differential Equations with Continuous Coefficient and L^2 Barriers

TL;DR

This paper investigates reflected backward stochastic differential equations with continuous coefficients and L^2 barriers, establishing existence results through a penalization method.

Contribution

It introduces a new existence proof for RBSDEs with continuous, linear growth coefficients and L^2 barriers using penalization.

Findings

Existence of solutions proven for RBSDEs with specified conditions.

Use of penalization method to establish existence.

Applicable to equations with continuous coefficients and L^2 barriers.

Abstract

In this paper we study reflected backward stochastic differential equations with a continuous, linear growth coefficient and two barriers which belong to L^2. We prove that there exists at least by penalization method.