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A note on the doubly reflected backward stochastic differential equations driven by a Lévy 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 |
| Downloads: | 0 |
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