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

Publication date: Available online 13 May 2019Source: Statistics & Probability LettersAuthor(s): Xue YangAbstractThis 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.

Source: Statistics and Probability Letters - May 15, 2019 Category: Statistics Source Type: research