Reflected backward stochastic differential equations with jumps

Abstract

A backward stochastic differential equation of the 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

Keywords:

• Backward stochastic differential equations
• Penalization
• Poisson point process
• martingale representation theorem
• AMS Classification: 60H10, 60H20

^*Research supported by TWAS under Contract No. 95-306 RG/MATHS AF/AC. [email protected]

^*Research supported by TWAS under Contract No. 95-306 RG/MATHS AF/AC. [email protected]

Notes

^*Research supported by TWAS under Contract No. 95-306 RG/MATHS AF/AC. [email protected]