Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles

Let us mention Foddy (1984) (dealing with the particular case of a Brownian motion with identity covariance matrix), Baccelli and Fayolle (1987) (on a diffusion having a quite

The latter gives a repre- sentation for the solutions to the heat equation for differential 1-forms with the absolute boundary conditions; it evolves pathwise by the Ricci curvature

We state an existence and uniqueness result for DBBSDEs with jumps, RCLL obstacle and general Lipschitz driver, and we prove that the solution of the DBBSDE can be characterized as

Key-words: Reflected backward stochastic differential equations with jumps,viscosity solution, partial integro-differential variational inequality, optimal stopping,

It is well-known that in this case, under Mokobodzki’s condition, the value function for the Dynkin game problem can be characterized as the solution of the Doubly Reflected

As in the case of doubly reflected BSDEs with lower and upper obstacles, related to Dynkin games, our BSDE formulation involves the introduction of two nondecreasing processes,

As an application of the regularity results stated in the last section, we now study the convergence of an Euler scheme approximation method for discretely reflected BSDEs.. Using

We give an explicit error bound between the invariant density of an elliptic reflected diffusion in a smooth compact domain and the kernel estimator built on the symmetric Euler