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Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps
Authors:
El Hassan Essaky a;
Youssef Ouknine a;
Najoua Harraj b
| Affiliations: | a D partement de Mathmatiques, Universit Cadi Ayyad Facult des Sciences Semlalia, Marrakech, Morocco |
| b Universite Mohammed V Facult des Sciences, Rabat, Morocco |
DOI:
10.1080/SAP-200050114
Publication Frequency:
6 issues per year
Published in:
Stochastic Analysis and Applications,
Volume
23,
Issue
5
September
2005
, pages 921
- 938
Stochastic Analysis and Applications,
Volume
23,
Issue
5
September
2005
, pages 921
- 938
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Abstract
In this paper, by using a penalization as well as a fixed point methods, we prove existence and uniqueness of the solution for the one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process.
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| Keywords: Backward stochastic differential equation; Fixed point theorem; Martingale representation theorem; Penalization; Poisson point process; Reflecting barriers |
| Mathematics Subject Classification: 60H10; 60H20; 60H99 |
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