BSDE with rcll reflecting barrier driven by a Lévy process

MohamedEl Jamali; MohamedEl Otmani

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BSDE with rcll reflecting barrier driven by a Lévy process

机译：BSDE与RCLL反映由Lévy过程驱动的障碍

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摘要

In this paper, we study the solution of a backward stochastic differential equation driven by a Lévy 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.

机译：在本文中，我们研究了一个RCLL反射屏障的Lévy过程驱动的向后随机微分方程的解。当系数是随机Lipschitz时，我们通过惩罚方法展示解决方案的存在和唯一性。作为申请，我们提供了美式选项的公平价格。

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来源
《Random operators and stochastic equations》 |2020年第1期|共15页
作者
MohamedEl Jamali; MohamedEl Otmani;
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作者单位

Laboratory of Analysis and Applied Mathematics (LAMA) Faculty of Sciences Agadir Ibn Zohr University Agadir Morocco;

Laboratory of Analysis and Applied Mathematics (LAMA) Faculty of Sciences Agadir Ibn Zohr University Agadir Morocco;

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原文格式 PDF
正文语种 eng
中图分类随机微分方程;
关键词
Reflected BSDE; Lévy process; stochastic Lipschitz coefficient; American option; 60H20; 60H30; 65C30;

机译：反射BSDE;levy过程;随机嘴唇尖氏系数;美国选项;60H20;60H30;65C30;

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专利

1. BSDE with rcll reflecting barrier driven by a Lévy process [J] . MohamedEl Jamali, MohamedEl Otmani Random operators and stochastic equations . 2020,第1期

机译：BSDE与RCLL反映由Lévy过程驱动的障碍
2. Doubly reflected BSDEs driven by a Lévy process [J] . Ren Y., El Otmani M. Nonlinear analysis. Real world applications . 2012,第3期

机译：由Lévy流程推动的BSDE的双重反映
3. Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition [J] . Yong Ren, Mohamed El Otmani Journal of Computational and Applied Mathematics . 2010,第8期

机译：Lévy过程驱动的广义反射BSDE和具有非线性Neumann边界条件的PDIE的障碍问题
4. Some Properties of BSDEs Driven by A Simple Levy Process with Continuous Coefficient [C] . Shiqiu Zheng, Dianchuan Jin, Shuai Zhang, International Conference on Intelligent Structure and Vibration Control . 2011

机译：具有连续系数的简单征收过程驱动的BSDES的一些特性
5. Hypothesis Testing on Time Series Driven by underlying Lévy Processes, with Machine Learning Applications [D] . Roberts, Michael. 2021

机译：通过机器学习应用程序驱动的时间序列的假设检测
6. Parameter estimation for Ornstein–Uhlenbeck processes driven by fractional Lévy process [O] . Guangjun Shen, Yunmeng Li, Zhenlong Gao -1

机译：分数Lévy过程驱动的Ornstein–Uhlenbeck过程的参数估计
7. BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game [O] . Hamadène S., Wang H. 2009

机译：具有两个RCLL的BSDE反映了布朗运动和泊松测度驱动的障碍物以及相关的混合零和博弈

BSDE with rcll reflecting barrier driven by a Lévy process

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