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| BSDEs with Jumps and Path-Dependent Parabolic Integro-differential Equations |
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Citation： |
Falei WANG.BSDEs with Jumps and Path-Dependent Parabolic Integro-differential Equations[J].Chinese Annals of Mathematics B,2015,36(4):625~644 |
| Page view： 1096
Net amount： 959 |
Authors： |
Falei WANG; |
Foundation： |
supported by the National Natural Science Foundation of China (Nos. 10921101, 11471190),
the Shandong Provincial Natural Science Foundation of China (No. ZR2014AM002) and the Programme
of Introducing Talents of Discipline to Universities of China (No. B12023). |
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| Abstract： |
This paper deals with backward stochastic differential equations with jumps,
whose data (the terminal condition and coefficient) are given functions of jump-diffusion
process paths. The author introduces a type of nonlinear path-dependent parabolic integrodifferential
equations, and then obtains a new type of nonlinear Feynman-Kac formula
related to such BSDEs with jumps under some regularity conditions. |
Keywords： |
Backward stochastic differential equations, Jump-diffusion processes, It?o
integral and It?o calculus, Path-dependent parabolic integro-differential
equations |
Classification： |
60H30, 60H10, 35K10 |
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