Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition (Q2654210)
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English | Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition |
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Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition (English)
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15 January 2010
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The authors study a class of generalized reflected backward stochastic differential equations (GRBSDEs) driven by the Teugels martingales associated with a Lévy process as well as by a square integrable increasing process; the reflecting lower barrier is supposed to be square integrable and càdlàg. The present work generalizes earlier results of \textit{E. Pardoux} and \textit{S. Zhang} [Probab. Theory Relat. Fields 110, No.~4, 535--558 (1998; Zbl 0909.60046)], \textit{M. El Otmani} [J. Appl. Math. Stochastic Anal. 2006, Article ID 85407 (2006; Zbl 1147.60319)] and \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)] by bringing together the concepts of generalized backward stochastic differential equations and reflected backward stochastic differential equations. Let us also mention that \textit{Y. Ren} and \textit{L. Hu} [Stat. Probab. Lett. 77, No. 15, 1559--1566 (2007; Zbl 1128.60048)] studied reflected backward stochastic differential equations driven by Teugels martingales and an independent Brownian motion. By combining the methods developed in these four papers, the authors of the present work prove the existence and the uniqueness of the solution. For this, they use the Snell envelope, the penalization method and a fixed point theorem. Furthermore, they prove a comparison theorem for the solutions of GRBSDEs. In the end, they give in terms of a forward equation and an associated GRBSDE the probabilistic interpretation for the viscosity solution of an obstacle problem for partial differential-integral equations with a nonlinear Neumann boundary condition.
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backward stochastic differential equation
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generalized backward stochastic differential equation, reflected backward stochastic differential equation
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Lévy process
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Teugels martingales
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partial differential-integral equation, Neuman boundary condition
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