Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs

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