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 |
本文献已被 ScienceDirect 等数据库收录! |
|