Reflected generalized BDSDEs driven by non-homogeneous Lévy processes and obstacle problems for stochastic integro-PDEs with nonlinear Neumann boundary conditions
Badr Elmansouri, Mohammed Elhachemy, Mohamed Marzougue, Mohamed El Jamali
Published: 2025/9/30
Abstract
We consider reflected generalized backward doubly stochastic differential equations driven by a non-homogeneous L\'evy process. Under stochastic conditions on the coefficients, we prove the existence and uniqueness of a solution. Furthermore, we apply these results to obtain a probabilistic representation for the viscosity solutions of an obstacle problem governed by stochastic integro-partial differential equations with a nonlinear Neumann boundary condition.