Non-linear degenerate integro-partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations

DOI10.1080/10451120410001696289zbMath1049.60050OpenAlexW1987784840WikidataQ115296002 ScholiaQ115296002MaRDI QIDQ4818631

Anna Lisa Amadori, Claudia La Chioma, Kenneth Hvistendahl Karlsen

Publication date: 29 September 2004

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10609

zbMATH Keywords

Lévy processes option pricing backward stochastic differential equations viscosity solutions comparison principles Integro-partial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-partial differential equations (45K05) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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