Work

Reflected generalized BDSDEs driven by non-homogeneous Lévy processes and obstacle problems for stochastic integro-PDEs with nonlinear Neumann boundary conditions

Year: 2025

Type: preprint

Abstract: We consider reflected generalized backward doubly stochastic differential equations driven by a non-homogeneous Lévy process. Under stochastic conditions on the coefficients, we prove the existence and uniqueness of a solution. Furthermore, we apply these results to obtain a probabilistic representation for the viscosity solutions of an obstacle problem governed by stochastic integro-partial differential equations with a nonlinear Neumann boundary condition.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2509.25912

Authors: Elmansouri, Badr, Elhachemy, Mohammed, Marzougue, Mohamed, Jamali, Mohamed El

Institutions: Université Ibn Zohr, Abdelmalek Essaâdi University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4415338287

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