Reflected backward doubly stochastic differential equations driven by a Lévy process

DOI10.1016/J.CRMA.2009.11.004zbMath1188.60031OpenAlexW1974319524MaRDI QIDQ964442

Yong Ren

Publication date: 15 April 2010

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2009.11.004

zbMATH Keywords

Lévy processTeugels martingalesreflected backward doubly stochastic differential equations

Mathematics Subject Classification ID

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

Related Items (10)

Reflected backward doubly stochastic differential equations with discontinuous barrier ⋮ Almost automorphic solutions to some stochastic functional differential equations with delay ⋮ Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process ⋮ RBDSDEs with jumps and optional Barrier and mean field game with common noise ⋮ Reflected backward doubly stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition ⋮ Reflected solutions of generalized anticipated backward double stochastic differential equations ⋮ On a class of backward doubly stochastic differential equations ⋮ Stepanov-like pseudo almost automorphic solutions to some stochastic differential equations ⋮ Numerical Method for Reflected Backward Stochastic Differential Equations ⋮ Two-barriers reflected backward doubly SDEs beyond right continuity

Cites Work

• One barrier reflected backward doubly stochastic differential equations with continuous generator
• Reflected backward stochastic differential equation with jumps and random obstacle
• Chaotic and predictable representations for Lévy processes.
• Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes
• Reflected backward stochastic differential equations driven by Lévy processes
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Reflected BSDE's with discontinuous barrier and application

This page was built for publication: Reflected backward doubly stochastic differential equations driven by a Lévy process