Doubly reflected BSDEs driven by a Lévy process

DOI10.1016/J.NONRWA.2011.10.003zbMATH Open1239.60049OpenAlexW2081718292MaRDI QIDQ425969FDOQ425969

Yong Ren, Mohamed El Otmani

Publication date: 10 June 2012

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2011.10.003

zbMATH Keywords

comparison theoremviscosity solutionreflected backward stochastic differential equationteugels martingaleLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (10)

• Irregular barrier reflected BSDEs driven by a Lévy process
• Reflected BSDE driven by a Lévy process
• Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process
• m-Double Poisson Lévy markets
• Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient
• \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
• Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process
• Double barrier reflected BSDEs with stochastic Lipschitz coefficient
• Predictable representation for time inhomogeneous Lévy processes and BSDEs
• Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient

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