A note on the reflected backward stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition |
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Authors: | Lanying Hu Yong Ren |
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Institution: | Department of Mathematics, Anhui Normal University, Wuhu 241000, China |
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Abstract: | In this note, we prove the existence and uniqueness of the solution for a class of reflected backward stochastic differential equations (RBSDEs in short) related to the subdifferential operator of a lower semi-continuous convex function, driven by Teugels martingales associated with a Lévy process. Some known results are generalized and improved. |
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Keywords: | Reflected backward stochastic differential equation Lé vy process Teugels martingale Stochastic Lipschitz condition |
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