Irregular barrier reflected BSDEs driven by a Lévy process
DOI10.1080/07362994.2022.2079529zbMath1515.60206OpenAlexW4281917070MaRDI QIDQ6135043
Mohamed El Otmani, Mohamed Marzougue
Publication date: 25 July 2023
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2022.2079529
Lévy processoptimal stopping problemreflected backward stochastic differential equationsirregular barriermertens decompositionpredictable representation for Lévy processes
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integral equations (60H20)
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