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Reflected Backward Stochastic Differential Equations Driven by a Lévy Process

journal contribution
posted on 2023-05-17, 00:53 authored by Ren, Yong, Fan, X
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 Lévy 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.

History

Publication title

The A N Z I A M Journal: (Australian and New Zealand Industrial and Applied Mathematics)

Volume

50

Issue

4

Pagination

486-500

ISSN

1446-1811

Department/School

School of Natural Sciences

Publisher

Australian Mathematics Publ Assoc Inc

Place of publication

Mathematics Dept Australian National Univ, Canberra, Australia, Act, 0200

Rights statement

c Australian Mathematical Society 2009.

Repository Status

  • Restricted

Socio-economic Objectives

Expanding knowledge in the mathematical sciences

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