Viscosity solutions of second order integral-partial differential equations: A new result
Probability
2016-09-06 v3
Abstract
We show existence and uniqueness of a continuous with polynomial growth viscosity solution of a system of second order integral-partial differential equations (IPDEs for short) without assuming the usual monotonicity condition of the generator with respect to the jump component as in Barles et al.'s article \cite{BarlesBuckPardoux}. The L\'evy measure is arbitrary and not necessarily finite. In our study the main tool we used is the notion of backward stochastic differential equations with jumps.
Keywords
Cite
@article{arxiv.1508.04669,
title = {Viscosity solutions of second order integral-partial differential equations: A new result},
author = {Said Hamadene},
journal= {arXiv preprint arXiv:1508.04669},
year = {2016}
}