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

✍ Scribed by Qing Zhou

Publisher
Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2010
Tongue
English
Weight
231 KB
Volume
26
Category
Article
ISSN
0168-9673

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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