Reflected BSDE Driven by a Lévy Process

Mohamed Otmani ()
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Mohamed Otmani: Cadi Ayyad University

Journal of Theoretical Probability, 2009, vol. 22, issue 3, 601-619

Abstract: Abstract In this paper, we study the reflected solution of one-dimensional backward stochastic differential equation driven by Teugels martingales and an independent Brownian motion. We prove the existence and uniqueness of the solution using a penalization method combined with Snell envelope theory.

Keywords: Reflected BSDEs; Teugels martingales; Lévy market model; American option; 60H10; 60H20 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10959-009-0229-3

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