Reflected backward stochastic differential equation with jumps and RCLL obstacle

DOI10.1016/j.bulsci.2008.03.005zbMath1157.60057OpenAlexW2048680917WikidataQ115359988 ScholiaQ115359988MaRDI QIDQ2378594

El Hassan Es-Saky

Publication date: 13 January 2009

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: http://ddd.uab.cat/record/44197

zbMATH Keywords

penalization methodPoisson random measureBackward stochastic differential equationmonotonic limit theoremreflection backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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