Article ID Journal Published Year Pages File Type
4669148 Bulletin des Sciences Mathématiques 2008 21 Pages PDF
Abstract

In this paper we study one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process when the solution is forced to stay above a right continuous left limits obstacle. We prove existence and uniqueness of the solution by using a penalization method combined with a monotonic limit theorem.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)