✦ LIBER ✦

Doubly reflected BSDEs driven by a Lévy process

✍ Scribed by Yong Ren; Mohamed El Otmani

Book ID: 113824053
Publisher: Elsevier Science
Year: 2012
Tongue: English
Weight: 310 KB
Volume: 13
Category: Article
ISSN: 1468-1218
DOI: 10.1016/j.nonrwa.2011.10.003

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Reflected BSDE Driven by a Lévy Process

✍ Mohamed El Otmani 📂 Article 📅 2009 🏛 Springer US 🌐 English ⚖ 420 KB

Reflected and doubly reflected BSDEs for

Reflected and doubly reflected BSDEs for Lévy processes: Solutions and comparison

✍ Qing Zhou 📂 Article 📅 2010 🏛 Institute of Applied Mathematics, Chinese Academy 🌐 English ⚖ 231 KB

Reflected Generalized Backward Doubly SD

Reflected Generalized Backward Doubly SDEs Driven by Lévy Processes and Applications

✍ Auguste Aman 📂 Article 📅 2010 🏛 Springer US 🌐 English ⚖ 639 KB

A note on the doubly reflected backward

A note on the doubly reflected backward stochastic differential equations driven by a Lévy process

✍ Xiliang Fan; Yong Ren; Dongjin Zhu 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 521 KB

Reflected backward doubly stochastic dif

Reflected backward doubly stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition

✍ Lanying Hu 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 173 KB

Generalized reflected BSDEs driven by a

Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition

✍ Yong Ren; Mohamed El Otmani 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 957 KB

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