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

Citation

Fan, X and Ren, Yong and Zhu, D, A note on the doubly reflected backward stochastic differential equations driven by a Levy process, Statistics and Probability Letters, 80, (7-8) pp. 690-696. ISSN 0167-7152 (2010) [Refereed Article]

DOI: doi:10.1016/j.spl.2010.01.001

Abstract

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.

Item Details

Item Type:Refereed Article
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:63631
Year Published:2010
Deposited By:Mathematics
Deposited On:2010-05-19
Last Modified:2011-03-23
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