Reflected BSDE driven by a marked point process with a convex/concave generator
Probability
2023-11-01 v1
Abstract
In this paper, a class of reflected backward stochastic differential equations (RBSDE) driven by a marked point process (MPP) with a convex/concave generator is studied. Based on fixed point argument, -method and truncation technique, the well-posedness of this kind of RBSDE with unbounded terminal condition and obstacle is investigated. Besides, we present an application on the pricing of American options via utility maximization, which is solved by constructing an RBSDE with a convex generator.
Keywords
Cite
@article{arxiv.2310.20361,
title = {Reflected BSDE driven by a marked point process with a convex/concave generator},
author = {Yiqing Lin and Zihao Gu and Kun Xu},
journal= {arXiv preprint arXiv:2310.20361},
year = {2023}
}
Comments
arXiv admin note: substantial text overlap with arXiv:2310.14728