The smallest g-supermartingale and reflected BSDE with single and double L2 obstacles

@inproceedings{Peng2005TheSG,
  title={The smallest g-supermartingale and reflected BSDE with single and double L2 obstacles},
  author={Shige Peng and Mingyu Xu},
  year={2005}
}
Abstract In this paper we show how a solution of BSDE can be reflected by a very irregular L 2 -obstacle. We prove that this problem is equivalent to find the smallest g -supermartingale of BSDE that dominates this obstacle. We then obtain the existence and uniqueness and continuous dependence theorem for this reflected BSDE. We also consider the problem of existence and uniqueness of reflected BSDE with double L 2 obstacles, by using a penalization method. A new monotonic limit theorem is… CONTINUE READING
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