A note on the reflected backward stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition

A note on the reflected backward stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition

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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: ,
Keywords: stochastic processes
Abstract:

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.

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