Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations (Q6111874)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations |
scientific article; zbMATH DE number 7722774
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations |
scientific article; zbMATH DE number 7722774 |
Statements
Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations (English)
0 references
4 August 2023
0 references
The authors prove existence and uniqueness of solutions for a family of reflected backward stochastic differential equations (RBSDEs) driven by a pure jump Markov process on a general state space. As an application, a probabilistic representation formula is obtained for the viscosity solutions of a class of quasi-variational partial differential equations.
0 references
backward stochastic differential equations
0 references
jump Markov processes
0 references
Marked point processes
0 references
quasi-variational inequalities
0 references
