A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps (Q2410984): Difference between revisions

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English	A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps	scientific article

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scholarly article

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A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps (English)

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Francesco Giuseppe Cordoni

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Immacolata Oliva

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NoDEA. Nonlinear Differential Equations and Applications

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publication date

20 October 2017

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full work available at URL

https://arxiv.org/abs/1602.03851

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zbMATH Keywords

stochastic delay differential equations

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quadratic variation

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Lévy processes

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Feynman-Kac formula

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mild solution

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MaRDI profile type

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A class of Lévy driven SDEs and their explicit invariant measures

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A time-delay model of single-species growth with stage structure

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Lévy Processes and Stochastic Calculus

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Universal Malliavin Calculus in Fock and L\'{e}vy-It\^{o} Spaces

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A Delayed Black and Scholes Formula

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Stochastic systems with memory and jumps

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Backward stochastic differential equations and integral-partial differential equations

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El Niño and the delayed action oscillator

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Existence of Solutions for Impulsive Neutral Integro-Differential Inclusions with Nonlocal Initial Conditions via Fractional Operators

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The European option with hereditary price structures

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Change of variable formulas for non-anticipative functionals on path space

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Functional Itō calculus and stochastic integral representation of martingales

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Backward stochastic differential equations approach to hedging, option pricing, and insurance problems

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A BSDE with delayed generator approach to pricing under counterparty risk and collateralization

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Gaussian estimates on networks with dynamic stochastic boundary conditions

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Stochastic reaction-diffusion equations on networks with dynamic time-delayed boundary conditions

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A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance

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Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations

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Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives

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Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps

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On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures

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On viscosity solutions of path dependent PDEs

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II

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An infinite-dimensional approach to path-dependent Kolmogorov equations

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Infinite-dimensional calculus under weak spatial regularity of the processes

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Controlled Markov processes and viscosity solutions

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Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations

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Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control

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Generalized directional gradients, backward stochastic differential equations and mild solutions of semilinear parabolic equations

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Existence and uniqueness of mild solutions for semilinear integro-differential equations of fractional order with nonlocal initial conditions and delays

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On Lévy processes, Malliavin calculus and market models with jumps

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Bounded mild solutions for semilinear integro differential equations in Banach spaces

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A Stochastic Calculus for Systems with Memory

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Stochastic Partial Differential Equations with Levy Noise

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Malliavin calculus in Lévy spaces and applications to finance.

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Delay differential equations driven by Lévy processes: stationarity and Feller properties

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Forward, backward and symmetric stochastic integration

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The generalized covariation process and Itô formula

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Ito formula for \(C^ 1\)-functions of semimartingales

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S00030-017-0440-3

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Sitelinks

Mathematics(1 entry)

mardi Publication:2410984

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