Reflected Backward Stochastic Differential Equations Driven by Lévy Process

Details Reflected Backward Stochastic Differential Equations Driven by Lévy Process Reflected Backward Stochastic Differential Equations Driven by Lévy Process

2008-07-14

arxiv.org/abs/0807.2076v1

Mathematics

Probability

14 pages

Scientific paper

In this paper, we deal with a class of reflected backward stochastic differential equations associated to the subdifferential operator of a lower semi-continuous convex function driven by Teugels martingales associated with L\'{e}vy process. We obtain the existence and uniqueness of solutions to these equations by means of the penalization method. As its application, we give a probabilistic interpretation for the solutions of a class of partial differential-integral inclusions.

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