Reflected BSDE of Wiener-Poisson type in time-dependent domains

In this paper we study multidimensional 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.

Bibliographische Detailangaben

Veröffentlicht in:	Stochastic models 2016-04, Vol.32 (2), p.275-300
Hauptverfasser:	Nyström, K., Olofsson, M.
Format:	Artikel
Sprache:	eng
Schlagworte:	60H10 60H20 Backward stochastic differential equation convex domain reflected backward stochastic differential equation time-dependent domain
Online-Zugang:	Volltext
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