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Reflected and Doubly Reflected Backward Stochastic Differential Equations with Time-Delayed Generators

  • Monia Karouf
Article
  • 57 Downloads

Abstract

In this paper, we study reflected backward stochastic differential equations with two reflecting barriers and time-delayed generators (delay RBSDEs for short). We consider the case of Brownian noise as well as the case of Brownian and Poisson noise. For both cases, we show the existence and uniqueness of the solution and give a comparison theorem.

Keywords

Backward stochastic differential equation Time-delayed generator Poisson point process Mokobodski’s hypothesis Fixed point theorem Comparison theorem 

Mathematics Subject Classification (2010)

34K12 60H10 60H20 60G40 60G55 60G57 

Notes

Acknowledgements

The author expresses his gratitude to Professor Monique Pontier for her careful reading and helpful suggestions. Here we address special thanks to Professor Anthony Reveillac for his invaluable comments and advice on this paper.

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Authors and Affiliations

  1. 1.Higher Institute of Applied Sciences and Technologies of Gabès & LR17ES11Gabès UniversityGabèsTunisia

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