Doubly reflected BSDEs driven by a Lévy process |
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Authors: | Yong Ren Mohamed El Otmani |
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Affiliation: | a Department of Mathematics, Anhui Normal University, Wuhu 241000, Chinab Université Abdelmalek Essaadi, Faculté Polydisciplinaire de Larache, Route de Rabat, Km 2 - Larache, BP. 745 - Larache 92004, Morocco |
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Abstract: | In this paper, we show the existence and uniqueness of the solution for a class of doubly reflected backward stochastic differential equations driven by a Lévy process (DRBSDELs in short) by means of the penalization method as well as the fixed point theorem. In addition, we obtain the comparison theorem for the solutions of DRBSDELs. As an application, we give a probabilistic formula for the viscosity solution of a class of partial differential-integral equations (PDIEs in short) with two obstacles. |
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Keywords: | Reflected backward stochastic differential equation Teugels martingale Lé vy process Comparison theorem Viscosity solution |
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