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Reflected backward stochastic differential equation with jumps and RCLL obstacle
Authors:EH Essaky
Institution:Université Cadi Ayyad, Faculté Poly-Disciplinaire, Département de Mathématiques et d'Informatique, B.P. 4162, Safi, Morocco
Abstract:In this paper we study one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process when the solution is forced to stay above a right continuous left limits obstacle. We prove existence and uniqueness of the solution by using a penalization method combined with a monotonic limit theorem.
Keywords:MSC: 60H10  60H20
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