Multivalued backward stochastic differential equations with jumps and moving boundary

TL;DR

This paper establishes existence and uniqueness results for a class of multivalued backward stochastic differential equations with jumps and moving boundaries, extending the theory to unbounded intervals.

Contribution

It introduces a novel existence and uniqueness framework for multivalued BSDEs with jumps and time-dependent boundaries, including unbounded cases.

Findings

Proved existence and uniqueness under specified conditions.

Extended results to unbounded operator domains.

Developed a penalization method for the solution.

Abstract

We prove existence and uniqueness for a one-dimensional multivalued backward stochastic differential equation with jumps. The equation involves a time-indexed family of maximal monotone operators $k_t(\cdot)$ associated with increasing functions $k(t,\cdot)$ taking values in $\mathbb{R}_-$ and having domains that are intervals with time-dependent boundaries. Existence is obtained by a penalization method under a Lipschitz condition on the driver in $(y,z)$, a monotonicity condition in the jump parameter $\psi$, square-integrability of the terminal condition and the driver, and local-in-time integrability conditions on $k(\cdot,y)$. We also address the extension to the case where the operators $k_t(\cdot)$ act on unbounded intervals.