Photo by saadahmad_umn from unsplash
We consider the problem of viscosity solution of integro-partial differential equation(IPDE in short) with one obstacle via the solution of reflected backward stochastic differential equations(RBSDE in short) with jumps. We… Click to show full abstract
We consider the problem of viscosity solution of integro-partial differential equation(IPDE in short) with one obstacle via the solution of reflected backward stochastic differential equations(RBSDE in short) with jumps. We show the existence and uniqueness of a continuous viscosity solution of equation with non local terms, if the generator is not monotonous and Levy’s measure is infinite.
Keywords:
equation;
reflected backward;
differential equation;
viscosity solution
Journal Title: Acta Mathematica Scientia
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Acta Mathematica Scientia
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!