We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.

Given p∈(1,2), we study Lp - solutions of a reflected backward stochastic differential equation with jumps (RBSDEJ) whose generator g is Lipschitz continuous in (y,z,u). We show that such a RBSDEJ with p - integrable parameters admits a unique Lp solution using a fixed-point argument as well...