The obstacle problem for semilinear parabolic partial integro-differential equations

DOI10.1142/S0219493715500070zbMath1322.60132arXiv1307.0875OpenAlexW2963799250MaRDI QIDQ5496375

Chao Zhou, Wissal Sabbagh, Anis Matoussi

Publication date: 30 January 2015

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

Full work available at URL: https://arxiv.org/abs/1307.0875

zbMATH Keywords

Feynman-Kac formulaobstacle problemstochastic flowjump diffusion processesreflected backward stochastic differential equationsportfolio processespartial parabolic integro-differential equations

Mathematics Subject Classification ID

Related Items (4)

Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps ⋮ The obstacle problem for stochastic porous media equations ⋮ Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations ⋮ Integro-partial differential equations with singular terminal condition

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