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.


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