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Abstract In the first part of the paper, we study the unique solvability of multidimensional reflected backward stochastic differential equations (RBSDEs) of Wiener–Poisson type with reflection in the inward spatial… Click to show full abstract
Abstract In the first part of the paper, we study the unique solvability of multidimensional reflected backward stochastic differential equations (RBSDEs) of Wiener–Poisson type with reflection in the inward spatial normal direction of a time-dependent adapted cadlag convex set D = { D t , t ∈ [ 0 , T ] } . The existence result is obtained by approximating the solutions of this class of RBSDEs by solutions of BSDEs with reflection in discretizations of D , while the uniqueness is established by using Ito’s formula. In the second part of the paper, we show that the solutions of our RBSDEs can be approximated via a non-standard penalization method.
Journal Title: Stochastic Processes and their Applications
Year Published: 2020
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