Path-dependent BSDEs with jumps and their connection to PPIDEs

DOI10.1142/S0219493717500368zbMath1370.60099OpenAlexW3121687186MaRDI QIDQ4975316

Jasmin A. L. Röder, Ludger Overbeck, Eduard Kromer

Publication date: 4 August 2017

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493717500368

zbMATH Keywords

viscosity solutionjump diffusionfunctional Itô formulafunctional Feynman-Kac theorempath-differentiabilitypath-dependent backward stochastic differential equationspath-dependent partial integro-differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Related Items

Survey on path-dependent PDEs ⋮ Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle

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