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A note on the doubly reflected backward stochastic differential equations driven by a Lévy process. (English) Zbl 1193.60077
Summary: We study the doubly reflected backward stochastic differential equations driven by Teugels martingales associated with a Lévy process (DRBSDELs for short). In our framework, the reflecting barriers are allowed to have general jumps. Under the Mokobodski condition, by means of the Snell envelope theory as well as the fixed point theory, we show the existence and uniqueness of the solution of the DRBSDELs. Some known results are generalized.
MSC:
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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