Path-dependent BSDEs with jumps and their connection to PPIDEs
Publication:4975316
DOI10.1142/S0219493717500368zbMath1370.60099OpenAlexW3121687186MaRDI QIDQ4975316
Jasmin A. L. Röder, Ludger Overbeck, Eduard Kromer
Publication date: 4 August 2017
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219493717500368
viscosity solutionjump diffusionfunctional Itô formulafunctional Feynman-Kac theorempath-differentiabilitypath-dependent backward stochastic differential equationspath-dependent partial integro-differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Stochastic integral equations (60H20)
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