LP-solutions for reflected BSDES with time delayed generators

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 Lp-integrable with p ∈]1, 2[ for a sufficiently small Lipschitz constant of the generator and the time horizon T.