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Backward stochastic differential equations and integral-partial differential equations

Backward stochastic differential equations and integral-partial differential equations We consider a backward stochastic differential equation, whose data (the final condition and the coefficient) are given functions of a jump-diffusion process. We prove that under mild conditions the solution of the BSDE provides a viscosity solution of a system of parabolic integral-partial differential equations. Under an additional assumption, that system of equations is proved to have a unique solution, in a given class of continuous functions http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Stochastics and Stochastic Reports Taylor & Francis

Backward stochastic differential equations and integral-partial differential equations

27 pages

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References (13)

Publisher
Taylor & Francis
Copyright
Copyright Taylor & Francis Group, LLC
ISSN
1045-1129
DOI
10.1080/17442509708834099
Publisher site
See Article on Publisher Site

Abstract

We consider a backward stochastic differential equation, whose data (the final condition and the coefficient) are given functions of a jump-diffusion process. We prove that under mild conditions the solution of the BSDE provides a viscosity solution of a system of parabolic integral-partial differential equations. Under an additional assumption, that system of equations is proved to have a unique solution, in a given class of continuous functions

Journal

Stochastics and Stochastic ReportsTaylor & Francis

Published: Feb 1, 1997

Keywords: Backward stochastic differential equations; jump-diffusion processes; integral-partial differential operators; viscosity solutions of systems of partial differential equations

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