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Reflected BSDE driven by a marked point process with a convex/concave generator

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  • Gu, Zihao
  • Lin, Yiqing
  • Xu, Kun

Abstract

In this paper, we study a class of reflected backward stochastic differential equations (RBSDE) driven by a marked point process (MPP) with a convex/concave generator. Based on fixed point argument, θ-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.

Suggested Citation

  • Gu, Zihao & Lin, Yiqing & Xu, Kun, 2026. "Reflected BSDE driven by a marked point process with a convex/concave generator," Stochastic Processes and their Applications, Elsevier, vol. 191(C).
    • Handle: RePEc:eee:spapps:v:191:y:2026:i:c:s0304414925002212
    DOI: 10.1016/j.spa.2025.104777
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    References listed on IDEAS

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