Reflected Backward Stochastic Differential Equation with Jumps and RCLL Obstacle
In this paper we study one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process when the solution is forced to stay above a right continuous left-hand limited obstacle. We prove existence and uniqueness...
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2006 |
| País: | España |
| Institución: | Universitat Autònoma de Barcelona |
| Repositorio: | Dipòsit Digital de Documents de la UAB |
| Idioma: | inglés |
| OAI Identifier: | oai:ddd.uab.cat:44197 |
| Acceso en línea: | https://ddd.uab.cat/record/44197 |
| Access Level: | acceso abierto |
| Palabra clave: | Equacions estocàstiques diferencials Poisson, Processos de Martingales (Matemàtica) |
| Sumario: | In this paper we study one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process when the solution is forced to stay above a right continuous left-hand limited obstacle. We prove existence and uniqueness of the solution by using a penalization method combined with a monotonic limit theorem. |
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