BSDE with rat reflecting barrier driven by a Levy process

被引：4

作者：

El Jamali, Mohamed ^{[1
]}

El Otmani, Mohamed ^{[1
]}

机构：

[1] Ibn Zohr Univ, Lab Anal & Appl Math LAMA, Fac Sci Agadir, Agadir, Morocco

来源：

RANDOM OPERATORS AND STOCHASTIC EQUATIONS | 2020年 / 28卷 / 01期

关键词：

Reflected BSDE; Levy process; stochastic Lipschitz coefficient; American option; STOCHASTIC DIFFERENTIAL-EQUATIONS; BACKWARD SDES; ZERO-SUM; JUMPS;

D O I：

10.1515/rose-2020-2029

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we study the solution of a backward stochastic differential equation driven by a Levy process with one rcll reflecting barrier. We show the existence and uniqueness of a solution by means of the penalization method when the coefficient is stochastic Lipschitz. As an application, we give a fair price of an American option.

引用

页码：63 / 77

页数：15

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