Reflected BSDEs with monotone generator
Tomasz Klimsiak

TL;DR
This paper establishes necessary and sufficient conditions for the existence and uniqueness of solutions to reflected backward stochastic differential equations with monotone generators, and shows these solutions can be approximated via penalization methods.
Contribution
It provides a complete characterization for solutions of reflected BSDEs with monotone generators and demonstrates an effective approximation approach.
Findings
Characterization of existence and uniqueness conditions
Solutions can be approximated by penalization methods
Applicable for data in b1p, p b1 1
Abstract
We give necessary and sufficient condition for existence and uniqueness of -solutions of reflected BSDEs with continuous barrier, generator monotone with respect to and Lipschitz continuous with respect to , and with data in , . We also prove that the solutions may be approximated by the penalization method.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsAdvanced Mathematical Physics Problems · Navier-Stokes equation solutions · Nonlinear Partial Differential Equations
