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Reflected backward stochastic differential equations with jumps. (English) Zbl 0918.60046

Summary: A backward stochastic differential equation of Wiener-Poisson type is considered in a \(d\)-dimensional convex and bounded region. By using a penalization argument on the domain, we are able to prove the existence and uniqueness of solutions. Moreover, the reflecting process is absolutely continuous.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H20 Stochastic integral equations
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