Reflected discontinuous backward doubly stochastic differential equations with Poisson jumps

zbMATH Open1438.60067MaRDI QIDQ5225331FDOQ5225331

Authors:

Publication date: 22 July 2019

Abstract: In this paper{}we prove the existence of a solution for reflected backward doubly stochastic differential equations with poisson jumps (RBDSDEPs) with one continuous barrier where the generator is continuous and also we study the RBDSDEPs with a linear growth condition and left continuity in $y$ on the generator. By a comparison theorem established here for this type of equation we provide a minimal or a maximal solution to RBDSDEPs.

Full work available at URL: https://arxiv.org/abs/1704.06927

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zbMATH Keywords

comparison theoremminimal solutionreflected backward doubly stochastic differential equationsrandom Poisson measurediscontinuous generator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (9)

• Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions
• Reflected solutions of backward doubly SDEs driven by Brownian motion and Poisson random measure
• On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
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• Discontinuous backward doubly stochastic differential equations with Poisson jumps
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• Reflected backward doubly stochastic differential equations with discontinuous coefficients
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