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Reflected BSDE of Wiener-Poisson type in time-dependent domains
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Probability Theory.
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Probability Theory.
2016 (English)In: Stochastic Models, ISSN 1532-6349, E-ISSN 1532-4214, Vol. 32, no 2, p. 275-300Article in journal (Refereed) Published
Abstract [en]

In the paper we study multi-dimensional reflected backward stochasticdifferential 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.

Place, publisher, year, edition, pages
2016. Vol. 32, no 2, p. 275-300
Keywords [en]
Backward stochastic differential equation, convex domain, reflected backward stochastic differential equation, time-dependent domain, 60H10, 60H20
National Category
Mathematical Analysis Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-224258DOI: 10.1080/15326349.2015.1116011ISI: 000377141900005OAI: oai:DiVA.org:uu-224258DiVA, id: diva2:716031
Available from: 2014-05-07 Created: 2014-05-07 Last updated: 2017-12-05Bibliographically approved

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Nyström, KajOlofsson, Marcus

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