Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison - Mathematics > ProbabilityReport as inadecuate




Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison - Mathematics > Probability - Download this document for free, or read online. Document in PDF available to download.

Abstract: It is now established that under quite general circumstances, including inmodels with jumps, the existence of a solution to a reflected BSDE isguaranteed under mild conditions, whereas the existence of a solution to adoubly reflected BSDE is essentially equivalent to the so-called Mokobodskicondition. As for uniqueness of solutions, this holds under mild integrabilityconditions. However, for practical purposes, existence and uniqueness are notenough. In order to further develop these results in Markovian set-ups, onealso needs a simply or doubly reflected BSDE to be well posed, in the sensethat the solution satisfies suitable bound and error estimates, and one furtherneeds a suitable comparison theorem. In this paper, we derive such estimatesand comparison results. In the last section, applicability of the results isillustrated with a pricing problem in finance.



Author: Stéphane Crépey, Anis Matoussi

Source: https://arxiv.org/







Related documents