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Reflected Backward Stochastic Differential Equation with Jumps and Random Obstacle


 
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1. Title Title of document Reflected Backward Stochastic Differential Equation with Jumps and Random Obstacle
 
2. Creator Author's name, affiliation, country Said Hamadène; Universite du Maine
 
2. Creator Author's name, affiliation, country Youssef Ouknine; Universite Cadi Ayyad
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Backward stochastic differential equation, penalization, Poisson point process, martingale representation theorem, integral-differential mixed control.
 
3. Subject Subject classification 60F10, 60JH20, 60H99.
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2003-02-03
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/124
 
10. Identifier Digital Object Identifier 10.1214/EJP.v8-124
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 8
 
12. Language English=en
 
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