Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison

DOI10.1214/08-AAP517zbMATH Open1158.60021arXiv0811.2276OpenAlexW3106188022MaRDI QIDQ957529FDOQ957529

Authors: Stéphane Crépey, Anis Matoussi 

Publication date: 27 November 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: It is now established that under quite general circumstances, including in models with jumps, the existence of a solution to a reflected BSDE is guaranteed under mild conditions, whereas the existence of a solution to a doubly reflected BSDE is essentially equivalent to the so-called Mokobodski condition. As for uniqueness of solutions, this holds under mild integrability conditions. However, for practical purposes, existence and uniqueness are not enough. In order to further develop these results in Markovian set-ups, one also needs a (simply or doubly) reflected BSDE to be well posed, in the sense that the solution satisfies suitable bound and error estimates, and one further needs a suitable comparison theorem. In this paper, we derive such estimates and comparison results. In the last section, applicability of the results is illustrated with a pricing problem in finance.

Full work available at URL: https://arxiv.org/abs/0811.2276

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zbMATH Keywords

financejumpsa priori estimatescomparison theoremconvertible bondsMarkovian BSDEsreflected BSDEs

Mathematics Subject Classification ID

Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

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Cited In (65)

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