Optimal Stopping of Marked Point Processes and Reflected Backward Stochastic Differential Equations

摘要

We define a class of reflected backward stochastic differential equation (RBSDE) driven by a marked point process (MPP) and a Brownian motion, where the solution is constrained to stay above a given cadlag process. The MPP is only required to be non-explosive and to have totally inaccessible jumps. Under suitable assumptions on the coefficients we obtain existence and uniqueness of the solution, using the Snell envelope theory. We use the equation to represent the value function of an optimal stopping problem, and we characterize the optimal strategy.