Reflected backward stochastic differential equations with jumps. (English) Zbl 0918.60046
Summary: A backward stochastic differential equation of 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.
MSC:
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
| 60H20 | Stochastic integral equations |
