Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process
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backward stochastic integral partial differential equationsBrownian motionItō-Wentzell formulajump diffusionsPoisson point processstochastic Feynman-Kac formulastochastic flow
Integro-partial differential equations (35R09) PDEs with randomness, stochastic partial differential equations (35R60) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20) Diffusion processes (60J60) Brownian motion (60J65)
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.
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Cited in
(4)- Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps
- 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
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