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

作者：Hu, Lanying; Ren, Yong^*

来源：Applied Mathematics and Computation, 2011, 218(8): 4325-4332.

DOI：10.1016/j.amc.2011.10.007

• Reflected backward stochastic differential equation
• Levy process
• Teugels martingale
• Stochastic Lipschitz condition

In this note, we prove the existence and uniqueness of the solution for a class of reflected backward stochastic differential equations (RBSDEs in short) related to the subdifferential operator of a lower semi-continuous convex function, driven by Teugels martingales associated with a Levy process. Some known results are generalized and improved.

• 出版日期2011-12-15
• 单位安徽师范大学