Article ID: | iaor201111919 |
Volume: | 218 |
Issue: | 8 |
Start Page Number: | 4325 |
End Page Number: | 4332 |
Publication Date: | Dec 2011 |
Journal: | Applied Mathematics and Computation |
Authors: | Ren Yong, Hu Lanying |
Keywords: | stochastic processes |
In this note, we prove the existence and uniqueness of the solution for a class of reflected backward stochastic differential equations (RBSDEs in short) related to the subdifferential operator of a lower semi‐continuous convex function, driven by Teugels martingales associated with a Lévy process. Some known results are generalized and improved.