Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
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REFLECTED BSDE DRIVEN BY A L$\acute{E}$VY PROCESS WITH STOCHASTIC LIPSCHITZ COEFFICIENT

  • Lu, Wen (School of Mathematics, Shandong University, School of Mathematics, Yantai University)
  • Received : 2009.12.14
  • Accepted : 2009.12.28
  • Published : 2010.09.30
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Abstract

In this paper, we deal with a class of one-dimensional reflected backward stochastic differential equations driven by a Brownian motion and the martingales of Teugels associated with an independent L$\acute{e}$vy process having a stochastic Lipschitz coefficient. We derive the existence and uniqueness of solutions for these equations via Snell envelope and the fixed point theorem.

Keywords

References

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