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
下载
收藏
页码：63 / 77
页数：15
相关论文
共 50 条
  • [31] Semi-Levy-Driven CARMA Process: Estimation and Prediction
    Modarresi, Navideh
    Rezakhah, Saeid
    Mohammadi, Mohammad
    JOURNAL OF STATISTICAL THEORY AND PRACTICE, 2023, 17 (01)
  • [32] Critical Homogenization of SDEs Driven by a Levy Process in Random Medium
    Rhodes, Remi
    Sow, Ahmadou Bamba
    STOCHASTIC ANALYSIS AND APPLICATIONS, 2011, 29 (05) : 838 - 859
  • [33] Small Noise Asymptotics of a Levy Flights Driven Displacement Process
    Hintze, Robert
    Pavlyukevich, Ilya
    IUTAM SYMPOSIUM ON MULTISCALE PROBLEMS IN STOCHASTIC MECHANICS, 2013, 6 : 204 - 210
  • [34] On stationary solutions of delay differential equations driven by a Levy process
    Gushchin, Alexander A.
    Kuchler, Uwe
    2000, Elsevier, Amsterdam, Netherlands (88)
  • [35] Approximate controllability of stochastic differential systems driven by a Levy process
    Ren, Yong
    Dai, Honglin
    Sakthivel, R.
    INTERNATIONAL JOURNAL OF CONTROL, 2013, 86 (06) : 1158 - 1164
  • [36] BSDEs driven by Levy process with enlarged filtration and applications in finance
    El Otmani, Mohamed
    STATISTICS & PROBABILITY LETTERS, 2009, 79 (01) : 44 - 49
  • [37] Discrete control of nonlinear stochastic systems driven by Levy process
    Yin, Liping
    Han, Yawei
    Song, Gongfei
    Miao, Guoying
    Li, Tao
    JOURNAL OF THE FRANKLIN INSTITUTE-ENGINEERING AND APPLIED MATHEMATICS, 2023, 360 (13): : 9427 - 9445
  • [38] A PIECEWISE LINEAR STOCHASTIC DIFFERENTIAL EQUATION DRIVEN BY A LEVY PROCESS
    Reed, Josh
    Zwart, Bert
    JOURNAL OF APPLIED PROBABILITY, 2011, 48A : 109 - 119
  • [39] REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A LEVY PROCESS
    Ren, Yong
    Fan, Xeliang
    ANZIAM JOURNAL, 2009, 50 (04): : 486 - 500
  • [40] Reflected generalized BSDEs with discontinuous barriers driven by a Levy process
    El Otmani, Mohamed
    RANDOM OPERATORS AND STOCHASTIC EQUATIONS, 2021, 29 (03) : 173 - 195
12345