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Reflected BSDE Driven by a Lévy Process

✍ Scribed by Mohamed El Otmani

Publisher
Springer US
Year
2009
Tongue
English
Weight
420 KB
Volume
22
Category
Article
ISSN
0894-9840

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✍ 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