A note on the reflected backward stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition

In this note, we prove the existence and uniqueness of the solution for a class of reflected backward stochastic differential equations (RBSDEs in short) related to the subdifferential operator of a lower semi-continuous convex function, driven by Teugels martingales associated with a Lévy process....

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Veröffentlicht in:	Applied mathematics and computation 2011-12, Vol.218 (8), p.4325-4332
Hauptverfasser:	Hu, Lanying, Ren, Yong
Format:	Artikel
Sprache:	eng
Schlagworte:	Computation Differential equations Exact sciences and technology Lipschitz condition Lévy process Mathematical analysis Mathematical models Mathematics Numerical analysis Numerical analysis. Scientific computation Numerical methods in probability and statistics Operators Real functions Reflected backward stochastic differential equation Sciences and techniques of general use Stochastic Lipschitz condition Stochasticity Teugels martingale Uniqueness
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Beschreibung
Zusammenfassung:	In this note, we prove the existence and uniqueness of the solution for a class of reflected backward stochastic differential equations (RBSDEs in short) related to the subdifferential operator of a lower semi-continuous convex function, driven by Teugels martingales associated with a Lévy process. Some known results are generalized and improved.
ISSN:	0096-3003 1873-5649
DOI:	10.1016/j.amc.2011.10.007