Article ID Journal Published Year Pages File Type
1156907 Stochastic Processes and their Applications 2009 32 Pages PDF
Abstract

In this paper we study Backward Stochastic Differential Equations with two reflecting right continuous with left limit obstacles (or barriers) when the noise is given by Brownian motion and a mutually independent Poisson random measure. The jumps of the obstacle processes could be either predictable or inaccessible. We show the existence and uniqueness of the solution when the barriers are completely separated and the generator uniformly Lipschitz. We do not assume the existence of a difference of supermartingales between the obstacles. As an application, we show that the related mixed zero-sum differential–integral game problem has a value.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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