L^p-SOLUTIONS FOR REFLECTED BSDES WITH TIME DELAYED GENERATORS

Abstract

Abstract. In this paper, we establish the existence and uniqueness of the solution for a class of reflected backward stochastic differential equations with time delayed generator (RBSDEs with time delayed generator, in short) in the case when the terminal value and the obstacle process are L p -integrable with p ∈]1, 2[ for a sufficiently small Lipschitz constant of the generator and the time horizon T .