Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process

DOI10.1016/J.BULSCI.2023.103282arXiv2107.05100OpenAlexW3181642112MaRDI QIDQ6105320

Mohamed Marzougue

Publication date: 9 June 2023

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

Full work available at URL: https://arxiv.org/abs/2107.05100

zbMATH Keywords

penalization methodLévy processreflected backward doubly stochastic differential equationsirregular barrier

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalized stochastic processes (60G20) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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