Reflected backward stochastic partial differential equations driven by Teugels martingales

In this paper, we study a class of multi-dimensional reflected backward stochastic partial differential equations (RBSPDEs) driven by the Teugels martingales related to a Lévy process. The solutions to these equations are constrained to take values within a bounded convex domain in ${\mathbb{R}}^{d}$ . By employing the penalization method, we establish the existence and uniqueness of solutions. Finally, two illustrative examples demonstrate the applicability of the established theory.

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Publication Details

Journal
Boundary Value Problems
Published
2025-07-24
DOI
https://doi.org/10.1186/s13661-025-02091-x
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
0.00
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article

Reflected backward stochastic partial differential equations driven by Teugels martingales

Hongchao Qian
Boundary Value Problems
Stochastic processes and financial applications
article

Reflected backward stochastic partial differential equations driven by Teugels martingales

Hongchao Qian
article en

Abstract

In this paper, we study a class of multi-dimensional reflected backward stochastic partial differential equations (RBSPDEs) driven by the Teugels martingales related to a Lévy process. The solutions to these equations are constrained to take values within a bounded convex domain in ${\mathbb{R}}^{d}$ . By employing the penalization method, we establish the existence and uniqueness of solutions. Finally, two illustrative examples demonstrate the applicability of the established theory.

Boundary Value ProblemsVol. 2025(1)
Changsha Normal University (CN)
Openalex Percentile: Top 76%
Stochastic processes and financial applications
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