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Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process (2107.05100v1)
Published 11 Jul 2021 in math.PR
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.
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