Weak solutions of semilinear PIDE's with obstacle(s) in Sobolev spaces and their probabilistic interpretation via the RFBSDE's with jumps and DRFBSDE's with jumps

zbMATH Open1255.35222MaRDI QIDQ3167296FDOQ3167296

Authors: Djibril Ndiaye 

Publication date: 2 November 2012

Full work available at URL: http://www.m-hikari.com/ijcms/ijcms-2012/25-28-2012/index.html

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zbMATH Keywords

penalization methodSobolev spacesreflected backward stochastic differential equations with jumpsdouble penalization methoddoubly reflected backward stochastic differential equations with jumpssemilinear partial integro-differential equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Weak solutions to PDEs (35D30) Integro-partial differential equations (35R09) PDEs with randomness, stochastic partial differential equations (35R60)

Cited In (5)

• RBSDE's with jumps and the related obstacle problems for integral-partial differential equa\-tions
• Weak Solutions of Semilinear PDEs in Sobolev Spaces and Their Probabilistic Interpretation via the FBSDEs
• WEAK SOLUTIONS OF SEMILINEAR PDEs WITH OBSTACLE(S) IN SOBOLEV SPACES AND THEIR PROBABILISTIC INTERPRETATION VIA THE RFBSDEs AND DRFBSDEs
• The obstacle problem for semilinear parabolic partial integro-differential equations
• The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem

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