Reflected solutions of backward doubly SDEs driven by Brownian motion and Poisson random measure

Abstract

We consider backward doubly stochastic differential equations (BDSDEs in short) driven by a Brownian motion and an independent Poisson random measure. We give sufficient conditions for the existence and the uniqueness of solutions of equations with Lipschitz generator which is, first, standard and then depends on the values of a solution in the past. We also prove comparison theorem for reflected BDSDEs.