Multivalued backward stochastic differential equations with jumps and moving boundary
We establish existence and uniqueness results for a one-dimensional multivalued backward stochastic differential equation (MBSDE) with jumps. The equation involves a time-indexed family of maximal monotone operators kt(⋅) associated with increasing functions k(t,⋅) taking values in R− and defined on intervals with time-dependent boundaries. The existence result is obtained via a penalization method, under standard Lipschitz conditions on the driver with respect to (y,z), a monotonicity condition in the jump component ψ, square-integrability assumptions on the terminal condition and the driver, and suitable local-in-time integrability conditions on k(⋅,y). We further extend these results to the general case where the operators kt(⋅) take values in R and act on unbounded domains.
Authors
- Youssef Ouknine (ORCID: https://orcid.org/0000-0002-6081-6111)
- Badr Elmansouri (ORCID: https://orcid.org/0000-0003-2603-894X)
- Anas Ouknine
Institutions
- Cadi Ayyad University (MA)
- Centre National de la Recherche Scientifique (FR)
- Laboratoire de Mathématiques Raphaël Salem (FR)
- Université Mohammed VI Polytechnique (MA)
Publication Details
- Journal
- Stochastic Analysis and Applications
- Published
- 2026-07-25
- DOI
- https://doi.org/10.1080/07362994.2026.2706146
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00