Viscosity solutions of second order integral-partial differential equations without monotonicity condition: A new result
From MaRDI portal
Publication:334112
DOI10.1016/j.na.2016.09.006zbMath1351.35244arXiv1508.04669OpenAlexW2529104368MaRDI QIDQ334112
Publication date: 31 October 2016
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1508.04669
viscosity solutionnon-local operatorbackward stochastic differential equation with jumpsintegral-partial differential equation
Applications of stochastic analysis (to PDEs, etc.) (60H30) Second-order parabolic equations (35K10) Viscosity solutions to PDEs (35D40) Integro-partial differential equations (35R09)
Related Items
Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching ⋮ 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 ⋮ Viscosity solution of system of integro-partial differential equations with interconnected obstacles of non-local type without monotonicity conditions ⋮ 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
Cites Work
- Unnamed Item
- Stochastic representation for solutions of Isaacs' type integral-partial differential equations
- Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
- 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
- Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach
- Backward stochastic differential equations and integral-partial differential equations
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
- On the Dirichlet problem for second-order elliptic integro-differential equations