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

被引：2

作者：

Yang, Xue ^{[1
]}

机构：

[1] Tianjin Univ, Sch Math, Tianjin 300072, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2019年 / 152卷

基金：

中国国家自然科学基金;

关键词：

Backward stochastic partial differential equations; Reflection problem; Poisson random measures; Convexity; SPDES;

D O I：

10.1016/j.spl.2019.04.019

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This 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 R-k, 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. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：126 / 136

页数：11

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