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Reflected Backward Stochastic Differential Equations Driven by a LÚvy Process

Citation

Ren, Yong and Fan, X, Reflected Backward Stochastic Differential Equations Driven by a Levy Process, The A N Z I A M Journal: (Australian and New Zealand Industrial and Applied Mathematics), 50, (4) pp. 486-500. ISSN 1446-1811 (2009) [Refereed Article]


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Copyright Statement

c Australian Mathematical Society 2009.

Official URL: http://www.austms.org.au/

DOI: doi:10.1017/S1446181109000303

Abstract

In this paper, we deal with a class of reflected backward stochastic differential equations (RBSDEs) corresponding to the subdifferential operator of a lower semi-continuous convex function, driven by Teugels martingales associated with a LÚvy process. We show the existence and uniqueness of the solution for RBSDEs by means of the penalization method. As an application, we give a probabilistic interpretation for the solutions of a class of partial differential-integral inclusions.

Item Details

Item Type:Refereed Article
Keywords:reflected backward stochastic differential equation, partial differential-integral inclusion, Levy process, Teugels martingale, penalization method
Research Division:Mathematical Sciences
Research Group:Pure Mathematics
Research Field:Partial Differential Equations
Objective Division:Expanding Knowledge
Objective Group:Expanding Knowledge
Objective Field:Expanding Knowledge in the Mathematical Sciences
Author:Ren, Yong (Dr Yong Ren)
ID Code:59568
Year Published:2009
Web of Science® Times Cited:7
Deposited By:Mathematics
Deposited On:2009-12-10
Last Modified:2010-03-25
Downloads:1 View Download Statistics

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