Year: 2025
Type: preprint
Abstract: We consider a one-reflected backward stochastic differential equation with a general RCLL barrier in a filtration that supports a Brownian motion and an independent Poisson random measure. We establish the existence and uniqueness of a solution in $\mathbb{L}^p$ for $p \in (1,2)$. The result is obtained by means of the penalization method, under the assumption that the coefficient is stochastically monotone with respect to the state variable $y$, stochastically Lipschitz with respect to the control variables $(z,u)$, and satisfies suitable linear growth and $p$-integrability conditions.
Source: arXiv (Cornell University)
Authors: Elmansouri, Badr, Otmani, Mohamed El, Marzougue, Mohamed
Institutions: Université Ibn Zohr, Abdelmalek Essaâdi University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W6979367559
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