反射BSDE驱动的标记点过程与凸/凹生成器

IF 1.2 2区数学 Q3 STATISTICS & PROBABILITY

Stochastic Processes and their Applications Pub Date : 2025-09-16 DOI:10.1016/j.spa.2025.104777

Zihao Gu , Yiqing Lin , Kun Xu

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引用次数: 0

摘要

研究了一类由凸/凹发生器标记点过程驱动的反射后向随机微分方程（RBSDE）。利用不动点论证、θ-法和截断技术，研究了这类具有无界终端条件和障碍的RBSDE的适定性。此外，我们还构造了一个带凸生成器的RBSDE来求解效用最大化的美式期权定价问题。

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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Reflected BSDE driven by a marked point process with a convex/concave generator

In this paper, we study a class of reflected backward stochastic differential equations (RBSDE) driven by a marked point process (MPP) with a convex/concave generator. Based on fixed point argument,

θ

-method and truncation technique, the well-posedness of this kind of RBSDE with unbounded terminal condition and obstacle is investigated. Besides, we present an application on the pricing of American options via utility maximization, which is solved by constructing an RBSDE with a convex generator.

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来源期刊

Stochastic Processes and their Applications 数学-统计学与概率论

CiteScore

2.90

自引率

7.10%

发文量

180

审稿时长

23.6 weeks

期刊介绍： Stochastic Processes and their Applications publishes papers on the theory and applications of stochastic processes. It is concerned with concepts and techniques, and is oriented towards a broad spectrum of mathematical, scientific and engineering interests. Characterization, structural properties, inference and control of stochastic processes are covered. The journal is exacting and scholarly in its standards. Every effort is made to promote innovation, vitality, and communication between disciplines. All papers are refereed.