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A doubly reflected backward stochastic differential equation driven by a Lévy process. (English) Zbl 1224.60134
Summary: We mainly prove the existence and uniqueness of a solution to a doubly reflected backward stochastic differential equation driven by a Lévy process. The main method we use is the Snell envelope and a fixed point theorem.
MSC:
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H20 Stochastic integral equations
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