Multivalued backward stochastic differential equations with jumps and moving boundary
Abstract
We establish existence and uniqueness results for a one-dimensional multivalued backward stochastic differential equation (MBSDE) with jumps. The equation involves a time-indexed family of maximal monotone operators kt(⋅) associated with increasing functions k(t,⋅) taking values in R− and defined on intervals with time-dependent boundaries. The existence result is obtained via a penalization method, under standard Lipschitz conditions on the driver with respect to (y,z), a monotonicity condition in the jump component ψ, square-integrability assumptions on the terminal condition and the driver, and suitable local-in-time integrability conditions on k(⋅,y). We further extend these results to the general case where the operators kt(⋅) take values in R and act on unbounded domains.
Fields of Study & Subjects
Stochastic processes and financial applications
Probabilistic and Robust Engineering Design
Nonlinear Differential Equations Analysis
Publication details
- Journal / source
- Stochastic Analysis and Applications
- Publisher
- Informa UK Limited
- Pages
- 1–72
- Publication date
- 25 July 2026
- Language
- EN