Reflected Backward SDEs in a Convex Polyhedron
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A backward stochastic differential equation is forced to stay within a d-dimensional bounded convex polyhedral domain, thanks to the action of oblique reflecting process at the boundary. The Lipschitz continuity on the reflection directions together with the Lipschitz continuity of the drift gives the existence and uniqueness of the solution.
KeywordsVector field Gaussian process Random field Covariance operator