Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4669148 | Bulletin des Sciences Mathématiques | 2008 | 21 Pages |
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.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)