Penalization method for reflected BDSDEs with two-sided jumps and driven by L\'evy process
Probability
2021-07-13 v1
Abstract
In this paper, we prove the existence and uniqueness of the solution to reflected backward doubly stochastic differential equations driven by Teugels martingales associated with a L\'evy process where the barrier process is not necessarily right continuous by approximating such equations by a new version of penalization method.
Keywords
Cite
@article{arxiv.2107.05100,
title = {Penalization method for reflected BDSDEs with two-sided jumps and driven by L\'evy process},
author = {Mohamed Marzougue},
journal= {arXiv preprint arXiv:2107.05100},
year = {2021}
}
Comments
14 pages