Reflected backward SDEs with general jumps

DOI10.1137/S0040585X97T987648zbMATH Open1341.60054arXiv0812.3965MaRDI QIDQ2811894FDOQ2811894

Youssef Ouknine, Said Hamadène

Publication date: 8 June 2016

Published in: Theory of Probability and its Applications (Search for Journal in Brave)

Abstract: In the first part of this paper we give a solution for the one-dimensional reflected backward stochastic differential equation (BSDE for short) when the noise is driven by a Brownian motion and an independent Poisson point process. The reflecting process is right continuous with left limits (rcll for short) whose jumps are arbitrary. We first prove existence and uniqueness of the solution for a specific coefficient in using a method based on a combination of penalization and the Snell envelope theory. To show the result in the general framework we use a fixed point argument in an appropriate space. The second part of the paper is related to BSDEs with two reflecting barriers. Once more we prove the existence and uniqueness of the solution of the BSDE.

Full work available at URL: https://arxiv.org/abs/0812.3965

zbMATH Keywords

penalizationBrownian motionPoisson random measureSnell envelopereflected backward stochastic differential equationsMokobodski's condition

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Brownian motion (60J65) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (45)

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