Author:
Di Persio Luca,Garbelli Matteo,Zălinescu Adrian
Abstract
AbstractWe consider a system of forward backward stochastic differential equations (FBSDEs) with a time-delayed generator driven by Lévy-type noise. We establish a non-linear Feynman–Kac representation formula associating the solution given by the FBSDEs system to the solution of a path dependent nonlinear Kolmogorov equation with both delay and jumps. Obtained results are then applied to study a generalization of the so-called large investor problem, where the stock price evolves according to a jump-diffusion dynamic.
Funder
Università degli Studi di Trento
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Analysis
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