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BSDEs with Jumps and Path-Dependent Parabolic Integro-differential Equations
Authors:Falei WANG
Abstract: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.
Keywords:Backward stochastic differential equations  Jump-diffusion processes  It?o integral and It?o calculus  Path-dependent parabolic integro-differential equations
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