当障碍物不是正确连续时，反射BSDE的可预测解决方案

IF 0.3 Q4 STATISTICS & PROBABILITY

Random Operators and Stochastic Equations Pub Date : 2020-11-07 DOI:10.1515/rose-2020-2045

M. Marzougue, M. El Otmani

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引用次数: 5

摘要

摘要在本文中，我们考虑了在支持一维布朗运动和独立泊松随机测度的一般滤波中，当反射障碍不一定是右连续时的反射后向随机微分方程。利用可预测Mertens分解证明了随机Lipschitz系数下这类方程可预测解的存在性和唯一性。

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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Predictable solution for reflected BSDEs when the obstacle is not right-continuous

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.

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来源期刊

Random Operators and Stochastic Equations STATISTICS & PROBABILITY-

CiteScore

0.60

自引率

25.00%

发文量