{
  "id": "0807.2076",
  "version": "v1",
  "published": "2008-07-14T03:19:41.000Z",
  "updated": "2008-07-14T03:19:41.000Z",
  "title": "Reflected Backward Stochastic Differential Equations Driven by Lévy Process",
  "authors": [
    "Yong Ren",
    "Xiliang Fan"
  ],
  "comment": "14 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2008-07-14T03:19:41.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "60H30"
    ],
    "keywords": [
      "reflected backward stochastic differential equations",
      "backward stochastic differential equations driven",
      "lévy process",
      "semi-continuous convex function driven"
    ],
    "tags": [
      "journal article"
    ],
    "publication": {
      "doi": "10.1016/j.cam.2008.03.008",
      "journal": "Journal of Computational and Applied Mathematics",
      "year": 2009,
      "month": "Jan",
      "volume": 223,
      "number": 2,
      "pages": 901
    },
    "note": {
      "typesetting": "TeX",
      "pages": 14,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2009JCoAM.223..901R"
    }
  }
}