Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process

DOI10.3934/MCRF.2015.5.401zbMATH Open1322.60105arXiv1007.3201OpenAlexW2963234586MaRDI QIDQ2356554FDOQ2356554

Authors: Shaokuan Chen, Shanjian Tang 

Publication date: 30 July 2015

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Abstract: In this paper we investigate classical solution of a semi-linear system of backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process. By proving an It^{o}-Wentzell formula for jump diffusions as well as an abstract result of stochastic evolution equations, we obtain the stochastic integral partial differential equation for the inverse of the stochastic flow generated by a stochastic differential equation driven by a Brownian motion and a Poisson point process. By composing the random field generated by the solution of a backward stochastic differential equation with the inverse of the stochastic flow, we construct the classical solution of the system of backward stochastic integral partial differential equations. As a result, we establish a stochastic Feynman-Kac formula.

Full work available at URL: https://arxiv.org/abs/1007.3201

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zbMATH Keywords

jump diffusionsBrownian motionPoisson point processstochastic flow[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD-Wentzell+formula&go=Go It��-Wentzell formula]stochastic Feynman-Kac formulabackward stochastic integral partial differential equations

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-partial differential equations (35R09) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic integrals (60H05) Stochastic integral equations (60H20)

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Cited In (4)

• Optimal control of forward-backward stochastic jump-diffusion differential systems with observation noises: stochastic maximum principle
• Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients
• Existence and uniqueness of solutions to backward 2D and 3D stochastic convective Brinkman-Forchheimer equations forced by Lévy noise
• Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps

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