L^p solutions of reflected BSDEs under monotonicity condition

Andrzej Rozkosz, Leszek Slominski

Published 2012-05-30, updated 2012-10-04Version 2

We prove existence and uniqueness of L^p solutions of reflected backward stochastic differential equations with p-integrable data and generators satisfying the monotonicity condition. We also show that the solution may be approximated by the penalization method. Our results are new even in the classical case p=2.