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Reflected backward stochastic differential equations driven by a Lévy process. (English) Zbl 1363.60084
Summary: In this paper, we prove the existence and uniqueness of solutions for reflected backward stochastic differential equations driven by a Lévy process, in which the reflecting barriers are just right continuous with left limits whose jumps are arbitrary. To derive the above results, the monotonic limit theorem of backward stochastic differential equations associated with Lévy process is established.

MSC:
60H15 Stochastic partial differential equations (aspects of stochastic analysis)
60G51 Processes with independent increments; Lévy processes
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