\mathbb {L}^2-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method

• Imade Fakhouri ^[1] ; Youssef Ouknine ^[1]
  1. [1] Universidad Cadi Ayyad
• Localización: SeMA Journal: Boletín de la Sociedad Española de Matemática Aplicada, ISSN-e 2254-3902, ISSN 2254-3902, Vol. 76, Nº. 1, 2019, págs. 37-63
• Idioma: inglés
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• Resumen

  • In this paper, we study generalized reflected backward stochastic differential equations with a càdlàg barrier, in a general filtration that supports a Brownian motion and an independent Poisson random measure. We give necessary and sufficient conditions for existence and uniqueness of L2-solutions for equations with generators monotone in y. We also prove that the solutions can be approximated via the penalization method. Furthermore, a comparison theorem is provided for such equations.