Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach
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Publication:2804564
Abstract: In this paper, we establish a new uniqueness result of a (continuous) viscosity solution for some integro-partial differential equation (IPDE in short). The novelty is that we relax the so-called monotonicity assumption on the driver, assumption which is classically assumed in the literature of viscosity solution of equation with a non local term. Our method strongly relies on the link between IPDEs and backward stochastic differential equations (BSDEs in short) with jumps for which we already know that the solution exists and is unique. In the second part of the paper, we deal with the IPDE with obstacle and we obtain similar results.
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Cited in
(11)- Viscosity solution of system of integro-partial differential equations with interconnected obstacles of non-local type without monotonicity conditions
- Doubly reflected generalized BSDEs with jumps and an obstacle problem of parabolic IPDEs with nonlinear Neumann boundary conditions
- Reflected backward stochastic differential equation with jumps and viscosity solution of second order integro-differential equation without monotonicity condition: case with the measure of Lévy infinite
- Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching
- Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions
- A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations
- The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem
- Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
- Jensen's inequality under nonlinear expectation generated by BSDE with jumps
- Viscosity solutions of second order integral-partial differential equations without monotonicity condition: A new result
- Systems of quasi-variational inequalities related to the switching problem
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