Path-dependent BSDEs with jumps and their connection to PPIDEs

DOI10.1142/S0219493717500368zbMath1370.60099MaRDI QIDQ4975316

Jasmin A. L. Röder, Ludger Overbeck, Eduard Kromer

Publication date: 4 August 2017

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

viscosity solution; jump diffusion; functional Itô formula; functional Feynman-Kac theorem; path-differentiability; path-dependent backward stochastic differential equations; path-dependent partial integro-differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60H05: Stochastic integrals

60H20: Stochastic integral equations

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