Reflected backward stochastic differential equation with jumps and RCLL obstacle

DOI10.1016/j.bulsci.2008.03.005zbMath1157.60057WikidataQ115359988 ScholiaQ115359988MaRDI QIDQ2378594

El Hassan Es-Saky

Publication date: 13 January 2009

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: http://ddd.uab.cat/record/44197

zbMATH Keywords

penalization method; Poisson random measure; Backward stochastic differential equation; monotonic limit theorem; reflection backward stochastic differential equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H20: Stochastic integral equations

Related Items

The Mixed Zero-Sum Stochastic Differential Game in the Model with Jumps, Multi-dimensional backward stochastic differential equations with one reflecting lower barrier of Itô diffusion type, BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game, Reflected BSDE driven by a Lévy process, Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition, On a Class of Quadratic Growth RBSDE with Jumps and Its Application

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