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BSDEs with general filtration driven by Lévy processes, and an application in stochastic controllability

✍ Scribed by Wang, Yanqing

Book ID
121925204
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
248 KB
Volume
62
Category
Article
ISSN
0167-6911

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In this paper, we derive the existence and uniqueness of the solution for a class of generalized reflected backward stochastic differential equations (GRBSDEs in short) driven by a Lévy process, which involve the integral with respect to a continuous process by means of the Snell envelope, the penal