Integro-partial differential equations with singular terminal condition

2016/03/25 by Popier, Alexandre · 1 citation
#Analysis of PDEs (math.AP) #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1603.07907

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, Hölder or strong regularity.

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