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Reflected backward stochastic differential equations driven by Lévy processes

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  • Ren, Yong
  • Hu, Lanying

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.

Suggested Citation

  • Ren, Yong & Hu, Lanying, 2007. "Reflected backward stochastic differential equations driven by Lévy processes," Statistics & Probability Letters, Elsevier, vol. 77(15), pages 1559-1566, September.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:15:p:1559-1566
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    References listed on IDEAS

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    1. Matoussi, Anis, 1997. "Reflected solutions of backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 347-354, June.
    2. Lepeltier, J.-P. & Xu, M., 2005. "Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier," Statistics & Probability Letters, Elsevier, vol. 75(1), pages 58-66, November.
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    Cited by:

    1. Fan, Xiliang & Ren, Yong & Zhu, Dongjin, 2010. "A note on the doubly reflected backward stochastic differential equations driven by a Lévy process," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 690-696, April.
    2. Kim, Mun-Chol & O, Hun, 2021. "A general comparison theorem for reflected BSDEs," Statistics & Probability Letters, Elsevier, vol. 173(C).

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