Reflected backward stochastic differential equation with jumps and random obstacle

Abstract

In this paper we give a solution for the one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process. We prove existence and uniqueness of the solution in using penalization and the Snell envelope theory. However both methods use a contraction in order to establish the result in the general case. Finally, we highlight the connection of such reflected BSDEs with integro-differential mixed stochastic optimal control. © 2003 Applied Probability Trust.