Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions

Abstract

Reflected generalized backward stochastic differential equations (BSDEs) with one discontinuous barrier are investigated when the noise is driven by a Brownian motion and an independent Poisson measure. The existence and uniqueness of the solution are derived when the generators are monotone and the barrier is right-continuous with left limits (rcll). The link is established between this solution and a viscosity solution for an obstacle problem of integral-partial differential equations with nonlinear Neumann boundary conditions.

Keywords

• Generalized BSDE with jumps
• reflected BSDE
• rcll barrier
• viscosity solution
• integral-partial differential equations