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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, XIn 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
50Issue
4Pagination
486-500ISSN
1446-1811Department/School
School of Natural SciencesPublisher
Australian Mathematics Publ Assoc IncPlace of publication
Mathematics Dept Australian National Univ, Canberra, Australia, Act, 0200Rights statement
c Australian Mathematical Society 2009.Repository Status
- Restricted