A note on the reflected backward stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition

DOI10.1016/j.amc.2011.10.007zbMath1272.60033OpenAlexW2001894906MaRDI QIDQ426974

Lanying Hu, Yong Ren

Publication date: 13 June 2012

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2011.10.007

zbMATH Keywords

backward stochastic differential equationLévy processTeugels martingalereflected BSDEstochastic Lipschitz condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

A framework of BSDEs with stochastic Lipschitz coefficients

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• RBSDEs with stochastic monotone and polynomial growth condition
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Backward stochastic differential equations with subdifferential operator and related variational inequalities
• Chaotic and predictable representations for Lévy processes.
• Backward Stochastic Differential Equations with Jumps involving a subdifferential operator
• Reflected backward stochastic differential equations with jumps
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Reflected backward stochastic differential equation with jumps and locally Lipschitz coefficient
• Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient
• REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A LÉVY PROCESS
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance

This page was built for publication: A note on the reflected backward stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition