Reflected Backward Stochastic Differential Equations Driven by Lévy Process

Abstract

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 Lévy 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.

14 pages

Cited by in corpus (12)

• Mean-Field Backward Doubly Stochastic Differential Equations and Applications
• Forward-Backward Doubly Stochastic Differential Equations with Random Jumps and Stochastic Partial Differential-Integral Equations
• A General Stochastic Maximum Principle For Optimal Control Of Stochastic Systems Driven By Multidimensional Teugel's Martingales
• Optimal Variational Principle for Backward Stochastic Control Systems Associated with Lévy Processes
• Backward Doubly Stochastic Differential Equations with Jumps and Stochastic Partial Differential-Integral Equations
• The Equivalence between Uniqueness and Continuous Dependence of Solution for BDSDEs
• Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients
• A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients
• Reflected solutions of Anticipated Backward Doubly SDEs driven by Teugels Martingales
• Backward Doubly Stochastic Equations with Jumps and Comparison Theorems
• Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process
• Comparison Theorem of Multi-dimensional Backward Doubly Stochastic Differential Equations on Infinite Horizon