{
  "id": "1501.05896",
  "version": "v1",
  "published": "2015-01-23T18:14:19.000Z",
  "updated": "2015-01-23T18:14:19.000Z",
  "title": "Reflected backward stochastic differential equations with jumps in time-dependent random convex domains",
  "authors": [
    "Imade Fakhouri",
    "Youssef Ouknine",
    "Yong Ren"
  ],
  "comment": "43 pages. arXiv admin note: text overlap with arXiv:1307.2124 by other authors",
  "categories": [
    "math.PR"
  ],
  "abstract": "In this paper, we study a class of multi-dimensional reflected backward stochastic differential equations when the noise is driven by a Brownian motion and an independent Poisson point process, and when the solution is forced to stay in a time-dependent adapted and continuous convex domain ${\\cal{D}}=\\{D_t, t\\in[0,T]\\}$. We prove the existence an uniqueness of the solution, and we also show that the solution of such equations may be approximated by backward stochastic differential equations with jumps reflected in appropriately defined discretizations of $\\cal{D}$, via a penalization method.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2015-01-23T18:14:19.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "60H20"
    ],
    "keywords": [
      "reflected backward stochastic differential equations",
      "time-dependent random convex domains"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 43,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2015arXiv150105896F"
    }
  }
}