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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)
Publication Information
Journal of applied mathematics & informatics / v.28, no.5_6, 2010 , pp. 1305-1314 More about this Journal
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
Reflected backward stochastic differential equation; Teugels martingale; stochastic Lipschitz coefficient; Snell envelope;
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