Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison

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dc.creatorCrépey, Stéphane
dc.creatorMatoussi, Anis
dc.date2008-11-14
dc.date.accessioned2026-07-07T10:18:22Z
dc.date.available2026-07-07T10:18:22Z
dc.descriptionIt is now established that under quite general circumstances, including in models with jumps, the existence of a solution to a reflected BSDE is guaranteed under mild conditions, whereas the existence of a solution to a doubly reflected BSDE is essentially equivalent to the so-called Mokobodski condition. As for uniqueness of solutions, this holds under mild integrability conditions. However, for practical purposes, existence and uniqueness are not enough. In order to further develop these results in Markovian set-ups, one also needs a (simply or doubly) reflected BSDE to be well posed, in the sense that the solution satisfies suitable bound and error estimates, and one further needs a suitable comparison theorem. In this paper, we derive such estimates and comparison results. In the last section, applicability of the results is illustrated with a pricing problem in finance.
dc.descriptionPublished in at http://dx.doi.org/10.1214/08-AAP517 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/0811.2276
dc.identifierhttp://arxiv.org/abs/0811.2276
dc.identifierAnnals of Applied Probability 2008, Vol. 18, No. 5, 2041-2069
dc.identifierdoi:10.1214/08-AAP517
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/174166
dc.subjectProbability
dc.subject60H10, 60G40, 60G57, 91B28 (Primary)
dc.titleReflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
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