Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions
| Autor: | Yaya Sagna, Mohamed Marzougue |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
irregular barrier Growth coefficient stochastic linear growth condition lcsh:T57-57.97 lcsh:Mathematics Mathematical analysis Probability (math.PR) Reflected backward doubly stochastic differential equations Poisson random measure Mertens decomposition Lipschitz continuity lcsh:QA1-939 Noise (electronics) Stochastic differential equation Modeling and Simulation lcsh:Applied mathematics. Quantitative methods FOS: Mathematics Uniqueness Statistics Probability and Uncertainty Linear growth Mathematics - Probability Brownian motion stochastic Lipschitz condition Mathematics |
| Zdroj: | Modern Stochastics: Theory and Applications, Vol 7, Iss 2, Pp 157-190 (2020) |
| DOI: | 10.48550/arxiv.2006.14819 |
| Popis: | 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. Comment: Published at https://doi.org/10.15559/20-VMSTA155 in the Modern Stochastics: Theory and Applications (https://vmsta.org/) by VTeX (http://www.vtex.lt/) |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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