BSDEs with Jumps and Path-Dependent Parabolic Integro-differential Equations

作     者：Falei WANG 

作者机构：Institute for Advanced Research and School of Mathematics Shandong University 

出 版 物：《Chinese Annals of Mathematics,Series B》 (数学年刊（B辑英文版）)

年 卷 期：2015年第36卷第4期

页      面：625-644页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070102[理学-计算数学] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by the National Natural Science Foundation of China(Nos.10921101,11471190) the Shandong Provincial Natural Science Foundation of China(No.ZR2014AM002) the Programme of Introducing Talents of Discipline to Universities of China(No.B12023) 

主　　题：Backward stochastic differential equations Jump=diffusion processes Itointegral and Ito calculus Path-dependent parabolic integro=differentialequations 

摘      要：This paper deals with backward stochastic differential equations with jumps,whose data(the terminal condition and coefficient) are given functions of jump-diffusion process paths. The author introduces a type of nonlinear path-dependent parabolic integrodifferential equations, and then obtains a new type of nonlinear Feynman-Kac formula related to such BSDEs with jumps under some regularity conditions.