Viscosity solutions of path-dependent integro-differential equations
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Publication:737174
DOI10.1016/J.SPA.2016.02.014zbMATH Open1383.45004arXiv1412.8495OpenAlexW2963748055MaRDI QIDQ737174FDOQ737174
Authors: Christian Keller 
Publication date: 8 August 2016
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We extend the notion of viscosity solutions for path-dependent PDEs introduced by Ekren et al. [Ann. Probab. 42 (2014), no. 1, 204-236] to path-dependent integro-differential equations and establish well-posedness, i.e., existence, uniqueness, and stability, for a class of semilinear path-dependent integro-differential equations with uniformly continuous data. Closely related are non-Markovian backward SDEs with jumps, which provide a probabilistic representation for solutions of our equations. The results are potentially useful for applications using non-Markovian jump-diffusion models.
Full work available at URL: https://arxiv.org/abs/1412.8495
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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) Viscosity solutions to PDEs (35D40) Integro-partial differential equations (35R09) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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