REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A LÉVY PROCESS

DOI10.1017/S1446181109000303zbMath1181.60089OpenAlexW2166898165MaRDI QIDQ5851002

Yong Ren, Xiliang Fan

Publication date: 21 January 2010

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181109000303

zbMATH Keywords

penalization methodLévy processTeugels martingalereflected backward stochastic differential equationpartial differential-integral inclusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items (9)

Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process ⋮ Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier ⋮ \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps ⋮ Optimal variational principle for backward stochastic control systems associated with Lévy processes ⋮ A note on the reflected backward stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition ⋮ Ong−evaluations with domains under jump filtration ⋮ BSDE with rcll reflecting barrier driven by a Lévy process ⋮ Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process ⋮ Numerical Method for Reflected Backward Stochastic Differential Equations

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