Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs

DOI10.1214/EJP.V20-3569MaRDI QIDQ2515932zbMATH OpenOpenAlexFDO

Authors Nabil Kazi-Tani, Dylan Possamaï, Chao Zhou

Publication date 7 August 2015

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1208.0763

zbMATH Keywords

backward stochastic differential equationsFeynman-Kac formulamodel uncertaintypartial integro-differential equationsviscosity solutions

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Integro-partial differential equations (35R09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: In this paper, we pursue the study of second order BSDEs with jumps (2BSDEJs for short) started in our accompanying paper [15]. We prove existence of these equations by a direct method, thus providing complete wellposedness for 2BSDEJs. These equations are a natural candidate for the probabilistic interpretation of some fully non-linear partial integro-differential equations, which is the point of the second part of this work. We prove a non-linear Feynman-Kac formula and show that solutions to 2BSDEJs provide viscosity solutions of the associated PIDEs.

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Cited in

(15)

• Stochastic control for a class of nonlinear kernels and applications
• Mean-variance asset-liability management problem under non-Markovian regime-switching models
• A semigroup approach to nonlinear Lévy processes
• Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
• On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
• Path-dependent BSDEs with jumps and their connection to PPIDEs
• Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
• Quadratic BSDEs with jumps and related PIDEs
• Optimal control of semi-Markov processes with a backward stochastic differential equations approach
• Wasserstein perturbations of Markovian transition semigroups
• Reflections on BSDEs
• Representation of solutions to quadratic 2BSDEs with unbounded terminal values
• Doubly reflected backward stochastic differential equations driven by G-Brownian motion with uniformly continuous coefficients
• Convergence of infinitesimal generators and stability of convex monotone semigroups
• Second-order BSDEs with jumps: formulation and uniqueness

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