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

DOI10.1214/08-AAP517zbMath1158.60021arXiv0811.2276OpenAlexW3106188022MaRDI QIDQ957529

Stéphane Crépey, Anis Matoussi

Publication date: 27 November 2008

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

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

zbMATH Keywords

jumpsa priori estimatescomparison theoremfinanceconvertible bondsMarkovian BSDEsreflected BSDEs

Mathematics Subject Classification ID

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

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