Reflected Backward Stochastic Differential Equation with Jumps and RCLL Obstacle

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Use this identifier to quote or link this document: http://hdl.handle.net/2072/2192

dc.contributor	Centre de Recerca Matemàtica
dc.contributor.author	Essaky, E.H.
dc.date.accessioned	2006-07-10T07:01:49Z
dc.date.available	2006-07-10T07:01:49Z
dc.date.issued	2006-04
dc.identifier.uri	http://hdl.handle.net/2072/2192
dc.format.extent	244470 bytes
dc.format.mimetype	application/pdf
dc.language.iso	eng
dc.publisher	Centre de Recerca Matemàtica
dc.relation.ispartofseries	Prepublicacions del Centre de Recerca Matemàtica;683
dc.rights	Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el centre i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/)
dc.subject	Equacions estocàstiques diferencials
dc.subject	Poisson, Processos de
dc.subject	Martingales (Matemàtica)
dc.title	Reflected Backward Stochastic Differential Equation with Jumps and RCLL Obstacle
dc.type	info:eu-repo/semantics/preprint
dc.description.abstract	In this paper we study one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process when the solution is forced to stay above a right continuous left-hand limited obstacle. We prove existence and uniqueness of the solution by using a penalization method combined with a monotonic limit theorem.

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