Reflected Discontinuous Backward Doubly Stochastic Differential Equation With Poisson Jumps

zbMATH Open1438.60067arXiv1704.06927MaRDI QIDQ5225331FDOQ5225331

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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

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 (5)

• On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
• Title not available (Why is that?)
• Discontinuous backward doubly stochastic differential equations with Poisson jumps
• Title not available (Why is that?)
• Reflected backward doubly stochastic differential equations with discontinuous coefficients

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