BSDEs and Viscosity Solutions of the Associated System with Partial Integro-Differential Equations
RAN Qi-Kang-a, b
(a. Department of Applied Mathematics; b. Shanghai Key Laboratory of Financial Information Technology, Shanghai University of Finance and Economics, Shanghai 200433, China)
Abstract An existence result and A uniqueness result of a backward stochastic differential equation driven by Teugels martingales associated with a Lévy process were obtained. It is also shown that under some- conditions the solution of the BSDE provides a unique viscosity solution of the associated system with partial integro-differential equations.
Received: 21 April 2011
Published: 28 September 2012
