Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155396 | Stochastic Processes and their Applications | 2016 | 54 Pages |
Abstract
We extend the notion of viscosity solutions for path-dependent PDEs introduced by Ekren et al. (2014) to path-dependent integro-differential equations and establish well-posedness, i.e., existence, uniqueness, and stability, for a class of semilinear path-dependent integro-differential equations with uniformly continuous data. Closely related are non-Markovian backward SDEs with jumps, which provide a probabilistic representation for solutions of our equations. The results are potentially useful for applications using non-Markovian jump–diffusion models.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Christian Keller,