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Reflected backward stochastic differential equations driven by Lévy processes. (English) Zbl 1128.60048

Summary: We deal with reflected backward stochastic differential equations driven by Teugels martingales associated with Lévy process satisfying some moment condition and an independent Brownian motion. We derive the existence and uniqueness of solutions for these equations under Lipschitz condition on the coefficient via Snell envelope and the fixed point theorem.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30 Applications of stochastic analysis (to PDEs, etc.)
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