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A note on the doubly reflected backward stochastic differential equations driven by a Lévy process

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  • Fan, Xiliang
  • Ren, Yong
  • Zhu, Dongjin

Abstract

In this note, we study the doubly reflected backward stochastic differential equations driven by Teugels martingales associated with a Lévy process (DRBSDELs for short). In our framework, the reflecting barriers are allowed to have general jumps. Under the Mokobodski condition, by means of the Snell envelope theory as well as the fixed point theory, we show the existence and uniqueness of the solution of the DRBSDELs. Some known results are generalized.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:7-8:p:690-696
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    References listed on IDEAS

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