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

DOI10.1214/EJP.v20-3569zbMath1321.60125arXiv1208.0763OpenAlexW2963068185MaRDI QIDQ2515932

Dylan Possamaï, Nabil Kazi-Tani, 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 uncertaintyviscosity solutionspartial integro-differential equations

Mathematics Subject Classification ID

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

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