Reflected BSDE of Wiener-Poisson type in Time-dependent Domains
Probability
2015-03-12 v1
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.
Keywords
Cite
@article{arxiv.1503.03367,
title = {Reflected BSDE of Wiener-Poisson type in Time-dependent Domains},
author = {Kaj Nyström and Marcus Olofsson},
journal= {arXiv preprint arXiv:1503.03367},
year = {2015}
}