Integro-partial differential equations with singular terminal condition - Archive ouverte HAL
Article Dans Une Revue Nonlinear Analysis: Hybrid Systems 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.

Dates et versions

hal-01639658 , version 1 (20-11-2017)

Identifiants

Citer

Alexandre Popier. Integro-partial differential equations with singular terminal condition. Nonlinear Analysis: Hybrid Systems, 2017, 155, pp.72-96. ⟨10.1016/j.na.2017.01.012⟩. ⟨hal-01639658⟩
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