Abstract
We study a system of forward-backward stochastic differential equations (FBSDEs), with time delayed generator driven by a Lèvy-type noise, establishing a non-linear Feynman-Kac representation formula to associate the BSDE solution to a path dependent nonlinear Kolmogorov equation. We also provide two financial applications: a generalization of the Large Investor Problem and an insurance investment type model.
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Di Persio, L., Garbelli, M., Zalinescu, A. (2022). Feynman-Kac Formula for BSDEs with Jumps and Time Delayed Generators Associated to Path-Dependent Nonlinear Kolmogorov Equations. In: Corazza, M., Perna, C., Pizzi, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. MAF 2022. Springer, Cham. https://doi.org/10.1007/978-3-030-99638-3_33
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DOI: https://doi.org/10.1007/978-3-030-99638-3_33
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