Viscosity solutions of path-dependent integro-differential equations
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Publication:737174
DOI10.1016/j.spa.2016.02.014zbMath1383.45004arXiv1412.8495OpenAlexW2963748055MaRDI QIDQ737174
Publication date: 8 August 2016
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1412.8495
viscosity solutionsmartingale problemsbackward SDEs with jumpspath-dependent integro-differential equationsSkorokhod topologies
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-partial differential equations (45K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to PDEs (35D40) Integro-partial differential equations (35R09)
Related Items
Path-dependent Hamilton-Jacobi equations in infinite dimensions, Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method, Viscosity Solutions of Path-Dependent PDEs with Randomized Time, Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs, A martingale approach for fractional Brownian motions and related path dependent PDEs, Path-dependent BSDEs with jumps and their connection to PPIDEs
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