Reflected backward stochastic differential equation with jumps and RCLL obstacle (Q2378594): Difference between revisions

Backward stochastic differential equations (BSDEs) reflected at one barrier were introduced by \textit{N. El Karoui, C. Kapoudjian, E. Pardoux, S. Peng} and \textit{M. C. Quenez}, Ann. Probab. 25, No. 2, 702--737 (1997; Zbl 0899.60047)]. They were extended by \textit{S. Hamadène} and \textit{Y. Ouknine} [Electron. J. Probab. 8, No. 2 (2003; Zbl 1015.60051)] from backward equations driven by a Brownian motion to those driven by both a Brownian motion and an independent compensated Poisson random measure. In their paper the latter authors considered as reflecting barrier \(S\) a process with càdlàg paths, admitting only inaccessible jump times. In the present paper the author extends this work to backward stochastic differential equations which reflecting barrier \(S\) is just supposed to be càdlàg so that the jump times of the solution process \(Y\) of the BSDE do not come only from the jumps of the Poisson random measure (inaccessible stopping times) but also from those of the barrier process. A consequence of this generalization is that now the increasing process \(K\) guaranteeing that the solution process \(Y\) of the BSDEs stays above the reflecting barrier \(S\) is no longer continuous but only right-continuous. The author proves the existence and the uniqueness of the solution with the help of the penalization method, the comparison theorem for BSDEs with jumps and the monotonic convergence theorem.