The obstacle problem for semilinear parabolic partial integro-differential equations

DOI10.1142/S0219493715500070zbMATH Open1322.60132arXiv1307.0875OpenAlexW2963799250MaRDI QIDQ5496375FDOQ5496375

Authors: Wissal Sabbagh, Chao Zhou, Anis Matoussi 

Publication date: 30 January 2015

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

Abstract: This paper presents a probabilistic interpretation for the weak Sobolev solution of the obstacle problem for semilinear parabolic partial integro-differential equations (PIDEs). The results of Leandre (1985) concerning the homeomorphic property for the solution of SDEs with jumps are used to construct random test functions for the variational equation for such PIDEs. This results in the natural connection with the associated Reflected Backward Stochastic Differential Equations with jumps (RBSDEs), namely Feynman Kac's formula for the solution of the PIDEs. Moreover it gives an application to the pricing and hedging of contingent claims with constraints in the wealth or portfolio processes in financial markets including jumps.

Full work available at URL: https://arxiv.org/abs/1307.0875

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zbMATH Keywords

Feynman-Kac formulaobstacle problemjump diffusion processesstochastic flowreflected backward stochastic differential equationsportfolio processespartial parabolic integro-differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-partial differential equations (35R09) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Martingales and classical analysis (60G46)

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Cited In (14)

• The obstacle problem for stochastic porous media equations
• Obstacle problem for evolution equations involving measure data and operator corresponding to semi-Dirichlet form
• Sobolev solution for semilinear PDE with obstacle under monotonicity condition
• RBSDE's with jumps and the related obstacle problems for integral-partial differential equa\-tions
• WEAK SOLUTIONS OF SEMILINEAR PDEs WITH OBSTACLE(S) IN SOBOLEV SPACES AND THEIR PROBABILISTIC INTERPRETATION VIA THE RFBSDEs AND DRFBSDEs
• 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
• Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
• Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
• The obstacle problem for nonlinear integro-differential operators
• Extremal Solutions for Semilinear Obstacle Problems
• Integro-partial differential equations with singular terminal condition
• Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
• Obstacle problem for nonlinear integro-differential equations arising in option pricing
• The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem

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