BSDEs with jumps and path-dependent parabolic integro-differential equations

DOI10.1007/S11401-015-0917-5MaRDI QIDQ2515975zbMATH OpenOpenAlexFDO

Authors Falei Wang

Publication date 7 August 2015

Published in Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11401-015-0917-5

zbMATH Keywords

backward stochastic differential equationsItō integraljump-diffusion processespath-dependent parabolic integro-differential equations

Mathematics Subject Classification ID

Second-order parabolic equations (35K10) Integro-partial differential equations (35R09) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

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Cites work

• A functional extension of the Ito formula
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations and integral-partial differential equations
• Backward Stochastic Differential Equations in Finance
• BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
• Change of variable formulas for non-anticipative functionals on path space
• Conjugate convex functions in optimal stochastic control
• Forward-backward stochastic differential equations and their applications
• Functional Itô calculus
• Functional Itō calculus and stochastic integral representation of martingales
• scientific article; zbMATH DE number 140601 (Why is no real title available?)
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients
• On viscosity solutions of path dependent PDEs
• Path regularity for solutions of backward stochastic differential equations
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Representation theorems for backward stochastic differential equations
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II

Cited in

(11)

• Representation theorems for backward stochastic differential equations
• \(L^p\) solutions for multidimensional BDSDEs with locally weak monotonicity coefficients
• Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle
• A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
• BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
• A BSDE arising in an exponential utility maximization problem in a pure jump market model
• Path-dependent BSDEs with jumps and their connection to PPIDEs
• Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations
• A class of BSDE with integrable parameters
• Survey on path-dependent PDEs
• Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales

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