Double-barriers-reflected BSDEs with jumps and viscosity solutions of parabolic integrodifferential PDEs (Q2387496)

Backward stochastic differential equations (BSDE) 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)], and the notion of BSDE reflected at two barriers goes back to \textit{J. Cvitanić} and \textit{I. Karatzas} [ibid. 24, No. 4, 2024--2056 (1996; Zbl 0876.60031)]. The results for reflected BSDEs driven by a Brownian motion were generalized later to BSDEs driven by both a Brownian motion as well as an independent Poisson random measure; in the case of reflection at one barrier this was done by \textit{S. Hamadène} and \textit{Y. Ouknine} [Electron. J. Probab. 8, Paper No. 2 (2003; Zbl 1015.60051)] and in the case of two barriers by \textit{E. H. Essaki} and the authors [Stochastic Anal. Appl. 23, No. 5, 921--938 (2005; Zbl 1076.60048)]. The authors of the present paper show that the solution of a BSDE with jumps reflected at two barriers provides a viscosity solution of a parabolic integro-partial differential equation with obstacles. The uniqueness of viscosity solutions is proven in the class of continuous functions satisfying some growth condition which has been shown to be optimal by \textit{G. Barles}, the reviewer and \textit{E. Pardoux} [Stochastics Stochastics Rep. 60, No. 1--2, 57--83 (1997; Zbl 0878.60036)].