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.
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The author is supported by the CEAMITIC.
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Sylla, L. 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. Acta Math Sci 39, 819–844 (2019). https://doi.org/10.1007/s10473-019-0312-5
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DOI: https://doi.org/10.1007/s10473-019-0312-5
Key words
- Integro-partial differential equation
- reflected stochastic differential equations with jumps
- viscosity solution
- non-local operator