Reflected Generalized Backward Doubly SDEs driven by Lévy processes and Applications

Abstract

In this paper, we study reflected generalized backward doubly stochastic differential equations driven by Teugels martingales associated with Lévy process (RGBDSDELs, in short) with one continuous barrier. Under uniformly Lipschitz coefficients, we prove existence and uniqueness result by means of the penalization method and the fixed point theorem. As an application, this study allows us to give a probabilistic representation for the solutions to a class of reflected stochastic partial differential integral equations (SPDIEs, in short) with a nonlinear Neumann boundary condition.

18 pages; accepted for publication to journal of theoretical probability