Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle

DOI10.1080/07362990600959448zbMath1111.60048OpenAlexW1993792339MaRDI QIDQ3423715

Khadija Akdim, Youssef Ouknine

Publication date: 15 February 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990600959448

zbMATH Keywords

infinite horizonexistenceuniquenesspenalizationcontraction methodPoisson point processreflected backward stochastic differential equationmartingale representation theoremright continuous with left limits reflecting barrierSnell envelope theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99) Stochastic integral equations (60H20)

Related Items (4)

Infinite horizon impulse control problem with jumps and continuous switching costs ⋮ Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time ⋮ 𝕃^p solutions of reflected backward stochastic differential equations with jumps ⋮ Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space

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