The Obstacle Problem for Quasilinear Stochastic Integral-Partial Differential Equations

2018/04/22 by Yuchao Dong, Xue Yang, Dong, Yuchao +3
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Differential Equations and Numerical Methods #Financial Risk and Volatility Modeling

paper · pdf · doi:10.48550/arxiv.1804.09038

Abstract

We prove an existence and uniqueness result for the obstacle problem for quasilinear stochastic integral-partial differential equations. Our method is based on the probabilistic interpretation of the solution using backward doubly SDEs with jumps.

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