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Reflected Backward Stochastic Differential Equations Driven by a Lévy Process
journal contributionposted 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.
Publication titleThe A N Z I A M Journal: (Australian and New Zealand Industrial and Applied Mathematics)
Department/SchoolSchool of Natural Sciences
PublisherAustralian Mathematics Publ Assoc Inc
Place of publicationMathematics Dept Australian National Univ, Canberra, Australia, Act, 0200
Rights statementc Australian Mathematical Society 2009.