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BSDE with rcll reflecting barrier driven by a Lévy process

  • Mohamed El Jamali EMAIL logo and Mohamed El Otmani
Published/Copyright: February 5, 2020

Abstract

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.

MSC 2010: 60H20; 60H30; 65C30

Communicated by Vyacheslav L. Girko


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Received: 2018-12-10
Accepted: 2020-01-05
Published Online: 2020-02-05
Published in Print: 2020-03-01

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