Reflected backward stochastic differential equations driven by Lévy processes

Yong Ren and Lanying Hu

Statistics & Probability Letters, 2007, vol. 77, issue 15, 1559-1566

Abstract: In this paper, we deal with reflected backward stochastic differential equations driven by Teugels martingales associated with Lévy process satisfying some moment condition and an independent Brownian motion. We derive the existence and uniqueness of solutions for these equations under Lipschitz condition on the coefficient via Snell envelope and the fixed point theorem.

Keywords: Reflected; backward; stochastic; differential; equation; Lévy; process; Teugels; martingale; Snell; envelope (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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