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Reflected Backward Stochastic Differential Equation with Jumps and Random Obstacle

   
@article{EJP124,
	author = {Said Hamadène and Youssef Ouknine},
	title = {Reflected Backward Stochastic Differential Equation with Jumps and Random Obstacle},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {8},
	year = {2003},
	keywords = {Backward stochastic differential equation, penalization, Poisson point process, martingale representation theorem, integral-differential mixed control.},
	abstract = {In this paper we give a 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. We prove existence and uniqueness of the solution in using penalization and the Snell envelope theory. However both methods use a contraction in order to establish the result in the general case. Finally, we highlight the connection of such reflected BSDEs with integro-differential mixed stochastic optimal control.},
	pages = {no. 2, 1-20},
	issn = {1083-6489},
	doi = {10.1214/EJP.v8-124},    
        url = {http://ejp.ejpecp.org/article/view/124}}