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

被引：1

作者：

Fan Yulian ^{[1
]}

机构：

[1] Peking Univ, Sch Math Sci, Beijing 100871, Peoples R China

来源：

SCIENCE IN CHINA SERIES A-MATHEMATICS | 2006年 / 49卷 / 04期

关键词：

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

D O I：

10.1007/s11425-006-0557-z

中图分类号：

O29 [应用数学];

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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