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

Autor:	Mohamed Marzougue, Yaya Sagna
Jazyk:	angličtina
Rok vydání:	2020
Předmět:	Reflected backward doubly stochastic differential equations irregular barrier Mertens decomposition stochastic Lipschitz condition stochastic linear growth condition Applied mathematics. Quantitative methods T57-57.97 Mathematics QA1-939
Zdroj:	Modern Stochastics: Theory and Applications, Vol 7, Iss 2, Pp 157-190 (2020)
Druh dokumentu:	article
ISSN:	2351-6046 2351-6054
DOI:	10.15559/20-VMSTA155
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.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/fb2b06c94cda4ed29b76f55eb897f8d4 Zobrazit plný text záznamu View record in DOAJ