Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions

DOI10.15559/20-VMSTA155zbMath1456.60166arXiv2006.14819MaRDI QIDQ2209741

Yaya Sagna, Mohamed Marzougue

Publication date: 4 November 2020

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.14819

zbMATH Keywords

stochastic Lipschitz conditionreflected backward doubly stochastic differential equationsMertens decompositionirregular barrierstochastic linear growth condition

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

Related Items (3)

Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process ⋮ Irregular barrier reflected BSDEs driven by a Lévy process ⋮ Two-barriers reflected backward doubly SDEs beyond right continuity

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