BSDEs with jumps and two completely separated irregular barriers in a general filtration

IF 0.6 4区数学 Q4 STATISTICS & PROBABILITY

Alea-Latin American Journal of Probability and Mathematical Statistics Pub Date : 2021-01-01 DOI:10.30757/ALEA.V18-28

M. Marzougue, M. Otmani

引用次数: 3

Abstract

We consider a doubly reflected backward stochastic differential equations with jumps and two completely separated optional barriers in a general filtration that supports a one-dimensional Brownian motion and an independent Poisson random measure. We suppose that the barriers have trajectories with left and right finite limits. We provide the existence and uniqueness result when the coefficient is stochastic Lipschitz by using a penalization method.

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一般过滤中具有跳跃和两个完全分离的非规则障碍的BSDEs

我们考虑了一个支持一维布朗运动和独立泊松随机测量的一般过滤系统中具有跳跃和两个完全分离的可选障碍的双反射后向随机微分方程。我们假设势垒有左右有限极限的轨迹。利用惩罚方法给出了系数为随机Lipschitz时的存在唯一性结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Alea-Latin American Journal of Probability and Mathematical Statistics STATISTICS & PROBABILITY-

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： ALEA publishes research articles in probability theory, stochastic processes, mathematical statistics, and their applications. It publishes also review articles of subjects which developed considerably in recent years. All articles submitted go through a rigorous refereeing process by peers and are published immediately after accepted. ALEA is an electronic journal of the Latin-american probability and statistical community which provides open access to all of its content and uses only free programs. Authors are allowed to deposit their published article into their institutional repository, freely and with no embargo, as long as they acknowledge the source of the paper. ALEA is affiliated with the Institute of Mathematical Statistics.