Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations

DOI10.1007/s10959-022-01212-xOpenAlexW4309489898MaRDI QIDQ6111874

Abdelkarim Oualaid, Youssef Ouknine, Khaled Bahlali

Publication date: 4 August 2023

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-022-01212-x

zbMATH Keywords

backward stochastic differential equationsquasi-variational inequalitiesjump Markov processesMarked point processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Random measures (60G57) Viscosity solutions to PDEs (35D40) Inequalities applied to PDEs involving derivatives, differential and integral operators, or integrals (35A23) Jump processes on general state spaces (60J76)

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