| RBSDE''''s with jumps and the related obstacle problems for integral-partial differential equations |
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| 引用本文： | FAN Yulian School of Mathematical Sciences,Peking University,Beijing 100871,China. RBSDE''''s with jumps and the related obstacle problems for integral-partial differential equations[J]. 中国科学A辑(英文版), 2006, 49(4) |
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| 作者姓名： | FAN Yulian School of Mathematical Sciences Peking University Beijing 100871 China |
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| 作者单位： | FAN Yulian School of Mathematical Sciences，Peking University，Beijing 100871，China |
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| 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.
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RBSDE''''s with jumps and the related obstacle problems for integral-partial differential equations |
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| FAN Yulian. RBSDE''''s with jumps and the related obstacle problems for integral-partial differential equations[J]. Science in China(Mathematics), 2006, 49(4) |
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| Authors: | FAN Yulian |
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| Abstract: | 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. |
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| Keywords: | reflected backward stochastic differential equation obstacle problem for the integral-partial differential equation viscosity solution |
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