Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs
Probability
2014-05-28 v2 Portfolio Management
Risk Management
Abstract
In this paper, we pursue the study of second order BSDEs with jumps (2BSDEJs for short) started in our accompanying paper [15]. We prove existence of these equations by a direct method, thus providing complete wellposedness for 2BSDEJs. These equations are a natural candidate for the probabilistic interpretation of some fully non-linear partial integro-differential equations, which is the point of the second part of this work. We prove a non-linear Feynman-Kac formula and show that solutions to 2BSDEJs provide viscosity solutions of the associated PIDEs.
Cite
@article{arxiv.1208.0763,
title = {Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs},
author = {M. Nabil Kazi-Tani and Dylan Possamaï and Chao Zhou},
journal= {arXiv preprint arXiv:1208.0763},
year = {2014}
}
Comments
39 pages