Reflected backward stochastic partial differential equations with jumps in a convex domain

Xue Yang

Statistics & Probability Letters, 2019, vol. 152, issue C, 126-136

Abstract: This paper is concerned with a class of multi-dimensional reflected backward stochastic partial differential equations (BSPDE for short), taking values in a convex domain in Rk, which are driven by an infinite dimensional Brownian motion and an independent compensated Poisson random measure. Existence and uniqueness of the solution to this class of reflected BSPDEs are proved. Penalization method plays an important role.

Keywords: Backward stochastic partial differential equations; Reflection problem; Poisson random measures; Convexity (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.04.019

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