一般过滤中具有跳跃和两个完全分离的非规则障碍的BSDEs

Pub Date : 2021-01-01 DOI:10.30757/ALEA.V18-28

M. Marzougue, M. Otmani

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引用次数: 3

摘要

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。

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

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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