Viscosity solutions of nonlinear integro-differential equations (Q1814669): Difference between revisions

The paper is concerned with existence and uniqueness of solutions to the following backward nonlinear integro-differential equation of the form \[ -\partial_t u(t,x)+F(t,x,u(t,x),Du(t,x),D^2 u(t,x)) -\int M(u(t,x+z),u(t,x))m_{t,x}(dz)=0 \] with \(u(T,x)\) given, where \(D\), \(D^2\) are space derivatives. The proof of existence is based on finding sub- and supersolutions and applying Perron's method. The results find application in some problems of mathematical finance involving stochastic utility model.