Lévy过程驱动的具有不连续屏障的反射广义BSDE

IF 0.3 Q4 STATISTICS & PROBABILITY

Random Operators and Stochastic Equations Pub Date : 2021-06-01 DOI:10.1515/rose-2021-2060

M. El Otmani

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引用次数: 0

摘要

摘要本文讨论了由布朗运动和与独立纯跳跃Lévy过程相关的Teugels鞅给出噪声时的反射和双反射广义后向随机微分方程。我们证明了这些具有单调生成元和右连续左有限障碍的方程解的存在性和唯一性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process

Abstract This article deals with the reflected and doubly reflected generalized backward stochastic differential equations when the noise is given by Brownian motion and Teugels martingales associated with an independent pure jump Lévy process. We prove the existence and the uniqueness of the solution for these equations with monotone generators and right continuous left limited obstacles.

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来源期刊

Random Operators and Stochastic Equations STATISTICS & PROBABILITY-

CiteScore

0.60

自引率

25.00%

发文量