Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps

DOI10.1080/SAP-200050114zbMath1082.60049OpenAlexW1967221173WikidataQ115294693 ScholiaQ115294693MaRDI QIDQ5697668

Youssef Ouknine, N. Harraj, El Hassan Es-Saky

Publication date: 18 October 2005

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

Full work available at URL: https://doi.org/10.1080/sap-200050114

zbMATH Keywords

penalization methodPoisson random measuretwo-barrier problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random measures (60G57) Stochastic analysis (60H99) Stochastic integral equations (60H20)

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• Backward equations, stochastic control and zero-sum stochastic differential games
• Reflected forward-backward SDEs and obstacle problems with boundary conditions

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