\mathbb {L}^2-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
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Imade Fakhouri [1] ; Youssef Ouknine [1]
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[1] Universidad Cadi Ayyad
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- Localización: SeMA Journal: Boletín de la Sociedad Española de Matemática Aplicada, ISSN-e 2254-3902, ISSN 2254-3902, Vol. 76, Nº. 1, 2019, págs. 37-63
- Idioma: inglés
- DOI: 10.1007/s40324-018-0159-z
- Texto completo no disponible (Saber más ...)
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Resumen
In this paper, we study generalized reflected backward stochastic differential equations with a càdlàg barrier, in a general filtration that supports a Brownian motion and an independent Poisson random measure. We give necessary and sufficient conditions for existence and uniqueness of L2-solutions for equations with generators monotone in y. We also prove that the solutions can be approximated via the penalization method. Furthermore, a comparison theorem is provided for such equations.
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