Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations (Q6111874)
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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 |
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Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations (English)
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4 August 2023
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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.
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backward stochastic differential equations
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jump Markov processes
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Marked point processes
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quasi-variational inequalities
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