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

DOI10.1080/15326349.2015.1116011zbMath1339.60075arXiv1503.03367OpenAlexW1670725353MaRDI QIDQ2811918

Marcus Olofsson, Kaj Nyström

Publication date: 9 June 2016

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.03367

zbMATH Keywords

convex domainreflected backward stochastic differential equationstime-dependent domainWiener-Poisson-type processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integral equations (60H20)

Related Items (4)

Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections ⋮ Reflected BSDEs with jumps in time-dependent convex càdlàg domains ⋮ Systems of semilinear parabolic variational inequalities with time-dependent convex obstacles ⋮ Obliquely reflected backward stochastic differential equations

Cites Work

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• Backward Stochastic Differential Equations in Finance

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