Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle

DOI10.1515/rose-2023-2019zbMath1525.60069arXiv2310.00190MaRDI QIDQ6062261

Mohamed Marzougue, Brahim Baadi

Publication date: 30 November 2023

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2310.00190

zbMATH Keywords

multivariate point processreflected BSDEmertens decompositionright upper-semicontinuous obstacle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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