Lp Solutions of Reflected Backward Stochastic Differential Equations with Jumps

Given p∈(1,2), we study Lp - solutions of a reflected backward stochastic differential equation with jumps (RBSDEJ) whose generator g is Lipschitz continuous in (y,z,u). We show that such a RBSDEJ with p - integrable parameters admits a unique Lp solution using a fixed-point argument as well as optimal stopping theory for uniformly integrable processes under jump filtration. The Y - component of the unique Lp solution, in turn, can be viewed as the Snell envelope of the obstacle L under g - evaluations. We also obtain a comparison theorem for Lp solutions of RBSDEJs

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Year of publication:	2017
Authors:	Yao, Song
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Analysis \| Mathematical analysis \| Optionspreistheorie \| Option pricing theory \| Hedging

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