Reflected backward stochastic differential equations driven by a Levy process

Ren Yong, Xiliang Fan


In this paper, we deal with a class of reflected backward stochastic differential equations (RBSDEs) corresponding to the subdifferential operator of a lower semi-continuous convex function, driven by Teugels martingales associated with a Lévy process. We show the existence and uniqueness of the solution for RBSDEs by means of the penalization method. As an application, we give a probabilistic interpretation for the solutions of a class of partial differential-integral inclusions.



reflected backward stochastic differential equation; partial differential–integral inclusion; Lévy process; Teugels martingale; penalization method


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ANZIAM Journal, ISSN 1446-8735, copyright Australian Mathematical Society.