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- Publisher
- Springer Journals
- Copyright
- Copyright © 2010 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg
- Subject
- Mathematics; Theoretical, Mathematical and Computational Physics; Math Applications in Computer Science; Applications of Mathematics
- ISSN
- 0168-9673
- eISSN
- 1618-3932
- DOI
- 10.1007/s10255-009-9179-x
- Publisher site
- See Article on Publisher Site
Abstract
In this paper we study reflected and doubly reflected backward stochastic differential equations (BSDEs, for short) driven by Teugels martingales associated with Lévy process satisfying some moment conditions and by an independent Brownian motion. For BSDEs with one reflecting barrier, we obtain a comparison theorem using the Tanaka-Meyer formula. For BSDEs with two reflecting barriers, we first prove the existence and uniqueness of the solutions under the Mokobodski’s condition by using the Snell envelope theory and then we obtain a comparison result.
Journal
Acta Mathematicae Applicatae Sinica – Springer Journals
Published: Mar 18, 2010