Reflected Backward Stochastic Differential Equations Driven by Lévy Process

Yong Ren, Xiliang Fan

Published 2008-07-14Version 1

In this paper, we deal with a class of reflected backward stochastic differential equations associated to the subdifferential operator of a lower semi-continuous convex function driven by Teugels martingales associated with L\'{e}vy process. We obtain the existence and uniqueness of solutions to these equations by means of the penalization method. As its application, we give a probabilistic interpretation for the solutions of a class of partial differential-integral inclusions.