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Abstract A one-dimensional generalized backward stochastic differential equation with jumps and two barriers is the main objective of this paper. When the generators are monotone and the barriers are right… Click to show full abstract
Abstract A one-dimensional generalized backward stochastic differential equation with jumps and two barriers is the main objective of this paper. When the generators are monotone and the barriers are right continuous with left limits and completely separated, we prove the existence and uniqueness of a solution. As in application, we provide a probabilistic interpretation of a solution of a double obstacle problem of second-order parabolic integral-partial differential equations with nonlinear Neumann boundary conditions.
Journal Title: Random Operators and Stochastic Equations
Year Published: 2024
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