Viscosity solutions of second order integral-partial differential equations without monotonicity condition: A new result
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Abstract: We show existence and uniqueness of a continuous with polynomial growth viscosity solution of a system of second order integral-partial differential equations (IPDEs for short) without assuming the usual monotonicity condition of the generator with respect to the jump component as in Barles et al.'s article cite{BarlesBuckPardoux}. The L'evy measure is arbitrary and not necessarily finite. In our study the main tool we used is the notion of backward stochastic differential equations with jumps.
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Cited in
(7)- Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach
- 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
- 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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