Reflected Backward SDEs with General Jumps

DOI10.1137/S0040585X97T987648zbMath1341.60054arXiv0812.3965MaRDI QIDQ2811894

Youssef Ouknine, Said Hamadène

Publication date: 8 June 2016

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

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

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

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