Reflected BSDE of Wiener-Poisson type in time-dependent domains

Abstract

In this paper we study multidimensional reflected backward stochastic differential 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.

Keywords:

• Backward stochastic differential equation
• convex domain
• reflected backward stochastic differential equation
• time-dependent domain

Mathematics Subject Classification:

• 60H10
• 60H20