Irregular barrier reflected BSDEs driven by a Lévy process

DOI10.1080/07362994.2022.2079529MaRDI QIDQ6135043zbMATH OpenOpenAlexFDO

Authors Mohamed Marzougue, Mohamed El Otmani

Publication date 25 July 2023

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2022.2079529

zbMATH Keywords

optimal stopping problemreflected backward stochastic differential equationsirregular barrierLévy processmertens decompositionpredictable representation for Lévy processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

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Cited in

(4)

• Reflected BSDE driven by a Lévy process
• BSDE with rcll reflecting barrier driven by a Lévy process
• Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
• Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle

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