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 ...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.展开更多
基金Supported by the National Natural Science Foundation of China (No. 10671205 and No. 10971220)Chinese Universities Scientific Fund (BUPT2009RC0705)
文摘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.
