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

Kaj Nyström; Marcus Olofsson

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arXiv · 1503.03367

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

Kaj Nyström·Marcus Olofsson

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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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Kaj Nyström, Marcus Olofsson. 2015-03-11. Reflected BSDE of Wiener-Poisson type in Time-dependent Domains. https://arxiv.org/abs/1503.03367

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