Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process

DOI10.3934/mcrf.2015.5.401zbMath1322.60105arXiv1007.3201OpenAlexW2963234586MaRDI QIDQ2356554

Shanjian Tang, Shaokuan Chen

Publication date: 30 July 2015

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1007.3201

zbMATH Keywords

Brownian motionPoisson point processstochastic flowjump diffusionsstochastic Feynman-Kac formulaItō-Wentzell formulabackward stochastic integral partial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integral equations (60H20) Integro-partial differential equations (35R09)

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