Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison (Q966535)
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scientific article; zbMATH DE number 5700786
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| English | Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison |
scientific article; zbMATH DE number 5700786 |
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Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison (English)
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23 April 2010
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The author studies doubly reflected backward stochastic differential equations driven by Teugels martingales that are associated with a Lévy process satisfying certain moment conditions and by an independent Brownian motion. Under certain conditions existence and uniqueness results for the solutions are found using (a) Snell envelope theory and (b) fixed point theory. The appropriate comparison theorem is also obtained.
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backward stochastic differential equations
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Lévy process
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Teugels martingale
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Snell envelope
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0.91788911819458
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0.9107711315155028
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0.9096152782440186
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0.9060141444206238
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0.8986123204231262
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