Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient

Mohamed Marzougue and Mohamed El Otmani

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 24, 6049-6066

Abstract: In this article, we give a solution to doubly reflected backward stochastic differential equations when the barriers are right continuous with left limits, and the noise is driven by a Brownian motion and an independent Poisson random measure. We show the existence and uniqueness of solution by means of the penalization method when the coefficient is stochastic Lipschitz.

Date: 2021
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DOI: 10.1080/03610926.2020.1738491

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