Reflected and Doubly Reflected Backward Stochastic Differential Equations with Time-Delayed Generators

Monia Karouf ()
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Monia Karouf: Gabès University

Journal of Theoretical Probability, 2019, vol. 32, issue 1, 216-248

Abstract: Abstract In this paper, we study reflected backward stochastic differential equations with two reflecting barriers and time-delayed generators (delay RBSDEs for short). We consider the case of Brownian noise as well as the case of Brownian and Poisson noise. For both cases, we show the existence and uniqueness of the solution and give a comparison theorem.

Keywords: Backward stochastic differential equation; Time-delayed generator; Poisson point process; Mokobodski’s hypothesis; Fixed point theorem; Comparison theorem; 34K12; 60H10; 60H20; 60G40; 60G55; 60G57 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s10959-018-0829-x

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