Probabilistic interpretation for integral-partial differential equations with subdifferential operator

DOI10.1515/ROSE.2001.9.1.87MaRDI QIDQ2722277zbMATH OpenOpenAlexFDO

Authors Modeste N'Zi, Youssef Ouknine

Publication date 11 July 2001

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose.2001.9.1.87

zbMATH Keywords

backward stochastic differential equationBrownian motionintegral-partial differential equationPoisson random measureprobabilistic interpretationsub-differential operatorvaritational inequalitiesviscosity solution

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65)

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Cited in

(6)

• Backward stochastic differential equations with subdifferential operator and related variational inequalities
• Integro-partial differential equations with singular terminal condition
• Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process
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• Probabilistic interpretation of the Calderón problem
• Doubly reflected generalized BSDEs with jumps and an obstacle problem of parabolic IPDEs with nonlinear Neumann boundary conditions

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