RBSDE's with jumps and the related obstacle problems for integral-partial differential equations

被引：0

作者：

FAN Yulian School of Mathematical Sciences

机构：

来源：

Science China Mathematics | 2006年 / 04期

关键词：

reflected backward stochastic differential equation; obstacle problem for the integral-partial differential equation; viscosity solution;

D O I：

暂无

中图分类号：

O175 [微分方程、积分方程];

学科分类号：

070104 ;

摘要：

The author proves, when the noise is driven by a Brownian motion and an independent Poisson random measure, the one-dimensional reflected backward stochastic differential equation with a stopping time terminal has a unique solution. And in a Markovian framework, the solution can provide a probabilistic interpretation for the obstacle problem for the integral-partial differential equation.

引用

页码：557 / 573

页数：17

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