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.

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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
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article

Multivalued backward stochastic differential equations with jumps and moving boundary

Youssef Ouknine, Badr Elmansouri, Anas Ouknine
Stochastic Analysis and Applications
Stochastic processes and financial applications
article

Multivalued backward stochastic differential equations with jumps and moving boundary

Youssef Ouknine, Badr Elmansouri, Anas Ouknine
article en

Abstract

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.

Stochastic Analysis and Applications
Cadi Ayyad University (MA), Centre National de la Recherche Scientifique (FR), Laboratoire de Mathématiques Raphaël Salem (FR), Université Mohammed VI Polytechnique (MA)
Openalex Percentile: Top 98%
Stochastic processes and financial applications
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