Research Communication | Open Access
Volume 2019 | Communication ID 26
Volume 2019 | Communication ID 26
| Doubly reflected BSDEs driven by a Lévy process and application in finance |
Mohamed El Jamali, Mohamed El Otmani
Received |
Accepted |
Published |
Dec 21, 2018 |
Jan 31, 2019 |
Mar 01, 2019 |
Abstract: The theory of backward stochastic differential equations (BSDEs) was developed by Pardoux and Peng [5]. El-Karoui et al. [1] have introduced the notion of one barrier reflected BSDE, which is a backward equation but the solution is forced to stay above a lower obstacle. Later Cvitanic and Karatzas [2] studied BSDEs with two reflecting barriers (DRBSDEs). And after, El Otmani [3] consider a reflected BSDE driven by a Brownian motion and the martingales of Teugels associated with a pure jump independent Lévy process and rcll obstacle. Recently, Marzougue and El Otmani [4] discussed the case ...