Another method of viscosity solutions of integro-differential partial equation by concavity

2018/09/06 by L. Sylla, Sylla, Lamine
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Nonlinear Differential Equations Analysis #Probability (math.PR) #Stochastic processes and financial applications #advanced mathematical theories

paper · pdf · doi:10.48550/arxiv.1809.02916

openalex publication_date 2018/09/06 · openalex created_date 2018/09/27 · openalex updated_date 2026/07/28

Abstract

In this paper we consider the problem of viscosity solution of integro-partial differential equation(IPDE in short) via the solution of backward stochastic differential equations(BSDE in short) with jumps where Lévy's measure is not necessarily infinite. We mainly use the concavity of the generator at the level of its second variable to establish the existence and uniqueness of the solution with non local terms.

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