Reflected and Doubly Reflected BSDEs for Levy Processes: Solutions and Comparison |
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基金项目: | Supported by the National Natural Science Foundation of China (No. 10671205 and No. 10971220) and Chinese Universities Scientific Fund (BUPT2009RC0705). |
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摘 要: | In this paper we study reflected and doubly reflected backward stochastic differential equations (BSDEs, for short) driven by Teugels martingales associated with L~vy process satisfying some moment condi- tions 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.
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关 键 词: | 倒向随机微分方程 双反射 征税 折射 Meyer 布朗运动 比较定理 包络理论 |
收稿时间: | 2006-05-12 |
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