Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach

DOI10.1080/17442508.2015.1110155zbMATH Open1337.60153arXiv1411.2266OpenAlexW808578306MaRDI QIDQ2804564FDOQ2804564

Marie-Amélie Morlais, Said Hamadène

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1411.2266

zbMATH Keywords

jumpsbackward stochastic differential equationsviscosity solutionspartial integro-differential equationsnon-local terms

Mathematics Subject Classification ID

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

Cites Work

• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• On the Dirichlet problem for second-order elliptic integro-differential equations
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Backward stochastic differential equations and integral-partial differential equations
• Stochastic differential equations of jump type and Lévy processes in diffeomorphisms group
• Viscosity solutions of nonlinear integro-differential equations
• Double-barriers-reflected BSDEs with jumps and viscosity solutions of parabolic integrodifferential PDEs
• Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
• Optimal stopping for dynamic risk measures with jumps and obstacle problems

Cited In (10)

• Doubly reflected generalized BSDEs with jumps and an obstacle problem of parabolic IPDEs with nonlinear Neumann boundary conditions
• Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations 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
• Systems of quasi-variational inequalities related to the switching problem
• Viscosity solutions of second order integral-partial differential equations without monotonicity condition: A new result
• Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching
• Viscosity solution of system of integro-partial differential equations with interconnected obstacles of non-local type without monotonicity conditions
• Jensen's inequality under nonlinear expectation generated by BSDE with jumps
• Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
• The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem

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