Optimal stopping of marked point processes and reflected backward stochastic differential equations (Q2041000)

The author considers a class of reflected backward stochastic differential equation (RBSDE) driven by a marked point process \(p\) and a Brownian motion \(W\); the solution is constrained to stay above an obstacle \(h\) represented by a càdlàg process. Let \(N\) be the counting process associated to \(p\) and \(A\) the compensator of \(N\); \(A\) is a right continuous increasing process with \(A_0=0\). It is assumed that \(p\) has totally inaccessible jumps, which is equivalent to the fact that the process \(A\) is continuous. Applying the Snell envelope theory, the author obtains existence and uniqueness of the solution to RBSDE under suitable conditions on the coefficients. The equation is used to represent the value function of an optimal stopping problem, and the optimal strategy is also characterized.