Integro-partial differential equations with singular terminal condition
Analysis of PDEs
2017-02-03 v3 Probability
Abstract
In this paper, we show that the minimal solution of a backward stochastic differential equation gives a probabilistic representation of the minimal viscosity solution of an integro-partial differential equation both with a singular terminal condition. Singularity means that at the final time, the value of the solution can be equal to infinity. Different types of regularity of this viscosity solution are investigated: Sobolev, H{\"o}lder or strong regularity.
Cite
@article{arxiv.1603.07907,
title = {Integro-partial differential equations with singular terminal condition},
author = {Alexandre Popier},
journal= {arXiv preprint arXiv:1603.07907},
year = {2017}
}