Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions

Mohamed Marzougue; Yaya Sagna

doi:10.15559/20-vmsta155

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arXiv · 2006.14819

Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions

Mohamed Marzougue·Yaya Sagna

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Abstract

In this paper, a solution is given to reflected backward doubly stochastic differential equations when the barrier is not necessarily right-continuous, and the noise is driven by two independent Brownian motions and an independent Poisson random measure. The existence and uniqueness of the solution is shown, firstly when the coefficients are stochastic Lipschitz, and secondly by weakening the conditions on the stochastic growth coefficient.

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BibTeX RIS

Mohamed Marzougue, Yaya Sagna. 2020-06-26. Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions. https://doi.org/10.15559/20-vmsta155

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