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

MaRDI QIDQ3167296zbMATHFDO

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

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)

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Cited in

(5)

• The obstacle problem for semilinear parabolic partial integro-differential equations
• RBSDE's with jumps and the related obstacle problems for integral-partial differential equa\-tions
• The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem
• 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

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