Backward stochastic differential equation with two reflecting barriers and jumps

被引：16

作者：

Essaky, E ^{[1
]}

Ouknine, Y ^{[1
]}

Harraj, N ^{[1
]}

机构：

[1] Univ Cadi Ayyad, Fac Sci Semlalia, Dept Math, Marrakech, Morocco

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2005年 / 23卷 / 05期

关键词：

backward stochastic differential equation; fixed point theorem; martingale representation theorem; penalization; poisson point process; reflecting barriers;

D O I：

10.1080/SAP-200050114

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, by using a penalization as well as a fixed point methods, we prove existence and uniqueness of the solution for the one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process.

引用

页码：921 / 938

页数：18

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