Reflected Backward SDEs with General Jumps
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Publication:2811894
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
penalizationBrownian motionPoisson random measureSnell envelopereflected backward stochastic differential equationsMokobodski's condition
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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