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- Title
Predictable solution for reflected BSDEs when the obstacle is not right-continuous.
- Authors
Marzougue, Mohamed; El Otmani, Mohamed
- Abstract
In the present paper, we consider reflected backward stochastic differential equations when the reflecting obstacle is not necessarily right-continuous in a general filtration that supports a one-dimensional Brownian motion and an independent Poisson random measure. We prove the existence and uniqueness of a predictable solution for such equations under the stochastic Lipschitz coefficient by using the predictable Mertens decomposition.
- Subjects
STOCHASTIC differential equations; RANDOM measures; BROWNIAN motion; UNIQUENESS (Mathematics)
- Publication
Random Operators & Stochastic Equations, 2020, Vol 28, Issue 4, p269
- ISSN
0926-6364
- Publication type
Article
- DOI
10.1515/rose-2020-2045