Work

Infinite horizon doubly reflected generalized BSDEs in a general filtration under stochastic conditions

Year: 2025

Type: article

Abstract: In this paper, we explore a significant class of double reflected generalized backward stochastic differential equations in a general filtration framework that supports a Brownian motion and an independent integer-valued random measure. Specifically, when the barriers are right-continuous, left-limited, and completely separated, and that the generators satisfy stochastic conditions, we establish both the existence and uniqueness of a solutions when the time horizon is infinite.

Source: Boletim da Sociedade Paranaense de Matemática

DOI: 10.5269/bspm.68171

Authors: Mohammed Elhachemy, Badr Elmansouri, Mohamed El Otmani

Institution: Université Ibn Zohr

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

Funder: Centre National pour la Recherche Scientifique et Technique

OpenAlex ID: W4412125451

FWCI: 1.869

Cites: 15

Cited by: 2

Related to: 10