FAN Xiliang, LI Fang, ZHU Dongjin. Reflected Backward Stochastic Differential Equations Driven by a Levy Process[J]. Chinese Journal of Applied Probability and Statistics, 2016, 32(2): 184-200.
Citation: FAN Xiliang, LI Fang, ZHU Dongjin. Reflected Backward Stochastic Differential Equations Driven by a Levy Process[J]. Chinese Journal of Applied Probability and Statistics, 2016, 32(2): 184-200.

Reflected Backward Stochastic Differential Equations Driven by a Levy Process

  • In this paper, we prove the existence and uniqueness of solutions for reflected backward stochastic differential equations driven by a Levy process, in which the reflecting barriers are just right continuous with left limits whose jumps are arbitrary. To derive the above results, the monotonic limit theorem of Backward SDE associated with Levy process is established.
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