Article ID Journal Published Year Pages File Type
1154804 Statistics & Probability Letters 2007 8 Pages PDF
Abstract
In this paper, we deal with reflected backward stochastic differential equations driven by Teugels martingales associated with Le´vy process satisfying some moment condition and an independent Brownian motion. We derive the existence and uniqueness of solutions for these equations under Lipschitz condition on the coefficient via Snell envelope and the fixed point theorem.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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