BSDE with rcll reflecting barrier driven by a Lévy process

DOI10.1515/rose-2020-2029zbMath1457.60089OpenAlexW3005114736MaRDI QIDQ1986117

Mohamed El Jamali, Mohamed El Otmani

Publication date: 7 April 2020

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2020-2029

zbMATH Keywords

Lévy processAmerican optionreflected BSDEstochastic Lipschitz coefficient

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier, PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS, Irregular barrier reflected BSDEs driven by a Lévy process, Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions

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