Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison

DOI10.1007/s10255-009-9179-xzbMath1197.60058OpenAlexW2159587636MaRDI QIDQ966535

Qing Zhou

Publication date: 23 April 2010

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-009-9179-x

zbMATH Keywords

backward stochastic differential equationsLévy processTeugels martingaleSnell envelope

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Ordinary differential equations and systems with randomness (34F05)

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Irregular barrier reflected BSDEs driven by a Lévy process

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