Reflected BSDE of Wiener-Poisson type in Time-dependent Domains

2015/03/11 by Kaj Nyström, Nyström, Kaj, Marcus Olofsson +1
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1503.03367

arxiv created 2015/03/11 · arxiv updated 2015/03/12

Abstract

In this paper we study multi-dimensional reflected backward stochastic differential equations driven by Wiener-Poisson type processes. We prove existence and uniqueness of solutions, with reflection in the inward spatial normal direction, in the setting of certain time-dependent domains.

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