Feynman-Kac Formula for BSDEs with Jumps and Time Delayed Generators Associated to Path-Dependent Nonlinear Kolmogorov Equations

被引：0

作者：

Di Persio, Luca ^{[1
]}

Garbelli, Matteo ^{[1
,2
]}

Zalinescu, Adrian ^{[3
]}

机构：

[1] Univ Verona, Dept Comp Sci, Verona, Italy

[2] Univ Trento, Dept Math, Trento, Italy

[3] Alexandru Ioan Cuza Univ, Fac Comp Sci, Iasi, Romania

来源：

MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE, MAF 2022 | 2022年

关键词：

STOCHASTIC DIFFERENTIAL-EQUATIONS;

D O I：

10.1007/978-3-030-99638-3_33

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study a system of forward-backward stochastic differential equations (FBSDEs), with time delayed generator driven by a Levy-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.

引用

页码：202 / 208

页数：7

共 16 条

[1] Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations
Di Persio, Luca
Garbelli, Matteo
Zalinescu, Adrian
NODEA-NONLINEAR DIFFERENTIAL EQUATIONS AND APPLICATIONS, 2023, 30 (06):
[2] Feynman–Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations
Luca Di Persio
Matteo Garbelli
Adrian Zălinescu
Nonlinear Differential Equations and Applications NoDEA, 2023, 30
[3] BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
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SCIENCE CHINA-MATHEMATICS, 2016, 59 (01) : 19 - 36
[4] BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
ShiGe Peng
FaLei Wang
Science China Mathematics, 2016, 59 : 19 - 36
[5] BSDE,path-dependent PDE and nonlinear Feynman-Kac formula
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Science China(Mathematics), 2016, 59 (01) : 19 - 36
[6] A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
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Di Persio, Luca
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[7] Stability of Feynman-Kac formulae with path-dependent potentials
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[8] Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations
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Zhang, Jianfeng
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 2022, 58 (02): : 603 - 638
[9] Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coefficients
Hu, Y
Ma, J
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2004, 112 (01) : 23 - 51
[10] BSDEs with Jumps and Path-Dependent Parabolic Integro-differential Equations
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CHINESE ANNALS OF MATHEMATICS SERIES B, 2015, 36 (04) : 625 - 644

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