Integro-partial differential equations with singular terminal condition - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2017

Integro-partial differential equations with singular terminal condition

Alexandre Popier

Résumé

In this paper, we show that the minimal solution of a backward stochastic differential equation gives a probabilistic representation of the minimal viscosity solution of an integro-partial differential equation both with a singular terminal condition. Singularity means that at the final time, the value of the solution can be equal to infinity. Different types of regularity of this viscosity solution are investigated: Sobolev, Hölder or strong regularity.
Fichier principal
Vignette du fichier
SPDEJ_HAL_version.pdf (274.58 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01293775 , version 1 (25-03-2016)
hal-01293775 , version 2 (31-01-2017)
hal-01293775 , version 3 (31-01-2017)

Identifiants

Citer

Alexandre Popier. Integro-partial differential equations with singular terminal condition. 2017. ⟨hal-01293775v3⟩
428 Consultations
276 Téléchargements

Altmetric

Partager

More