Reflected backward stochastic partial differential equations in a convex domain

Xue Yang, Qi Zhang and Tusheng Zhang

Stochastic Processes and their Applications, 2020, vol. 130, issue 10, 6038-6063

Abstract: This paper is concerned with the reflected backward stochastic partial differential equations, taking values in a convex domain in Rk. The existence and uniqueness of solution are studied under both the super-parabolic and parabolic conditions. In the degenerate parabolic case the connection between reflected backward stochastic partial differential equations and reflected forward backward stochastic differential equations is established.

Keywords: Backward stochastic partial differential equations; Reflection problem; (Super-)parabolic condition; Forward backward stochastic differential equation; Random measures; Convexity (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spa.2020.05.002

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