Abstract
This article deals with the problem of existence and uniqueness of a solution for a backward stochastic differential equation with two strictly separated continuous reflecting barriers in the case when the terminal value, the generator and the obstacle process are L p -integrable with p ∈ (1, 2). The main idea is to use the concept of local solution to construct the global one. As applications, we obtain new results in the domains of zero-sum Dynkin games and in double obstacle variational inequalities.
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