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<p>Our study investigates solutions to discontinuous generalized backward stochastic differential equations with two right-continuous, left-limited reflecting barriers in a general filtration that supports both a Brownian motion and an independent integer-valued random measure. We establish the existence and uniqueness of solutions by means of the penalization method when the barriers are completely separated and the drivers satisfy only monotonicity and linear growth conditions.</p>

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Penalization Method for Doubly Reflected Generalized BSDEs with General Filtration and RCLL Barriers

  • 期刊论文

  • 发表日期：

    2025年8月13日

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  • Badr Elmansouri,
  • Mohamed El Otmani

摘要

Our study investigates solutions to discontinuous generalized backward stochastic differential equations with two right-continuous, left-limited reflecting barriers in a general filtration that supports both a Brownian motion and an independent integer-valued random measure. We establish the existence and uniqueness of solutions by means of the penalization method when the barriers are completely separated and the drivers satisfy only monotonicity and linear growth conditions.