Viscosity solutions of second order integral-partial differential equations without monotonicity condition: A new result

DOI10.1016/J.NA.2016.09.006zbMATH Open1351.35244arXiv1508.04669OpenAlexW2529104368MaRDI QIDQ334112FDOQ334112

Authors: Said Hamadène 

Publication date: 31 October 2016

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1508.04669

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zbMATH Keywords

viscosity solutionnon-local operatorbackward stochastic differential equation with jumpsintegral-partial differential equation

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Second-order parabolic equations (35K10) Integro-partial differential equations (35R09) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Title not available (Why is that?)
• 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
• Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach
• A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions
• Stochastic representation for solutions of Isaacs' type integral-partial differential equations

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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