Non-linear degenerate integro-partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations-Reference-Cited by-同舟云学术

Non-linear degenerate integro-partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations

Published:2004-04 Issue:2 Volume:76 Page:147-177
ISSN:1045-1129
Container-title:Stochastics and Stochastic Reports
language:en
Short-container-title:Stochastics and Stochastic Reports

Author:

Amadori* Anna Lisa¹,Karlsen† Kenneth H.²,La Chioma Claudia³

Affiliation:

1. a Istituto per le Applicazioni del Calcolo “M. Picone”, Consiglio Nazionale delle Ricerche , Viale del Policlinico 137, I-00161, Roma, Italy

2. c Centre of Mathematics for Applications (CMA), Department of Mathematics , University of Oslo , P.O. Box, Blindern, N-0316, Oslo, Norway

3. d Dipartimento di Matematica Pura ed Applicata , Università di Roma “La Sapienza” , Piazzale Aldo Moro 2, I-00161, Roma, Italy

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/10451120410001696289

Reference33 articles.

1. Viscosity solutions of nonlinear integro-differential equations

2. Amadori, A.L. (2000) “The obstacle problem for nonlinear integro-differential operators arising in option pricing”. Quaderno IAC Q21-000.

3. Backward stochastic differential equations and integral-partial differential equations

4. A strong comparison result for the bellman equation arising in stochastic exit time control problems and its applications

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