Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions
Open Access
- 30 December 2022
- journal article
- research article
- Published by VTeX in Modern Stochastics: Theory and Applications
- Vol. 10 (1), 77-110
- https://doi.org/10.15559/22-vmsta218
Abstract
Publisher: VTeX - Solutions for Science Publishing, Journal: Modern Stochastics - Theory and Applications, Title: Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions, Authors: Mohammed Elhachemy, Mohamed El Otmani , Reflected generalized backward stochastic differential equations (BSDEs) with one discontinuous barrier are investigated when the noise is driven by a Brownian motion and an independent Poisson measure. The existence and uniqueness of the solution are derived when the generators are monotone and the barrier is right-continuous with left limits (rcll). The link is established between this solution and a viscosity solution for an obstacle problem of integral-partial differential equations with nonlinear Neumann boundary conditions.Keywords
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