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A note on the doubly reflected backward stochastic differential equations driven by a Lévy process

journal contribution
posted on 2023-05-17, 02:35 authored by Fan, X, Ren, Yong, Zhu, D
In this note, we study the doubly reflected backward stochastic differential equations driven by Teugels martingales associated with a Lévy process (DRBSDELs for short). In our framework, the reflecting barriers are allowed to have general jumps. Under the Mokobodski condition, by means of the Snell envelope theory as well as the fixed point theory, we show the existence and uniqueness of the solution of the DRBSDELs. Some known results are generalized. Crown Copyright © 2010.

History

Publication title

Statistics and Probability Letters

Volume

80

Issue

7-8

Pagination

690-696

ISSN

0167-7152

Department/School

School of Natural Sciences

Publisher

Elsevier Science Bv

Place of publication

Po Box 211, Amsterdam, Netherlands, 1000 Ae

Repository Status

  • Restricted

Socio-economic Objectives

Expanding knowledge in the mathematical sciences

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