Reflected backward stochastic differential equations driven by a Lévy process

• Autores: Yong Ren, Xiliang Fan
• Localización: Anziam journal: The Australian & New Zealand industrial and applied mahtematics journal, ISSN 1446-1811, Vol. 50, Nº 4, 2009, págs. 486-500
• Idioma: inglés
• DOI: 10.1017/s1446181109000303
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• Resumen

  • In this paper, we deal with a class of reflected backward stochastic differential equations (RBSDEs) corresponding to the subdifferential operator of a lower semi-continuous convex function, driven by Teugels martingales associated with a Lévy process. We show the existence and uniqueness of the solution for RBSDEs by means of the penalization method. As an application, we give a probabilistic interpretation for the solutions of a class of partial differential-integral inclusions.