Article ID Journal Published Year Pages File Type
5024773 Nonlinear Analysis: Theory, Methods & Applications 2016 23 Pages PDF
Abstract
We show existence and uniqueness of a continuous with polynomial growth viscosity solution of a system of second order integral-partial differential equations (IPDEs for short) without assuming the usual monotonicity condition of the generator with respect to the jump component as in Barles et al.'s article (Barles et al., 1997). The Lévy measure is arbitrary and not necessarily finite. In our study the main tool we used is the notion of backward stochastic differential equations with jumps.
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Physical Sciences and Engineering Engineering Engineering (General)
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