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Acta Mathematica Scientia

, Volume 39, Issue 3, pp 819–844 | Cite as

Reflected Backward Stochastic Differential Equation with Jumps and Viscosity Solution of Second Order Integro-Differential Equation Without Monotonicity Condition: Case with the Measure of Lévy Infinite

  • Lamine SyllaEmail author
Article
  • 75 Downloads

Abstract

We consider the problem of viscosity solution of integro-partial differential equation(IPDE in short) with one obstacle via the solution of reflected backward stochastic differential equations(RBSDE in short) with jumps. We show the existence and uniqueness of a continuous viscosity solution of equation with non local terms, if the generator is not monotonous and Levy’s measure is infinite.

Key words

Integro-partial differential equation reflected stochastic differential equations with jumps viscosity solution non-local operator 

2010 MR Subject Classification

35D40 35R09 60H30 

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Copyright information

© Wuhan Institute Physics and Mathematics, Chinese Academy of Sciences 2019

Authors and Affiliations

  1. 1.LERSTAD, CEAMITICUniversité Gaston BergerSaint-LouisSenegal

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