Irregular barrier reflected BSDEs driven by a Lévy process

DOI10.1080/07362994.2022.2079529zbMATH Open1515.60206OpenAlexW4281917070MaRDI QIDQ6135043FDOQ6135043

Mohamed El Otmani, Mohamed Marzougue

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 (2)

• Reflected BSDE driven by a Lévy process
• Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle

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