Semi-linear Backward Stochastic Integral Partial Differential Equations driven by a Brownian motion and a Poisson point process

Details Semi-linear Backward Stochastic Integral Partial Differential Equations driven by a Brownian motion and a Poisson point process Semi-linear Backward Stochastic Integral Partial Differential Equations driven by a Brownian motion and a Poisson point process

2010-07-19

arxiv.org/abs/1007.3201v1

Mathematics

Probability

Scientific paper

In this paper we investigate classical solution of a semi-linear system of backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process. By proving an It\^{o}-Wentzell formula for jump diffusions as well as an abstract result of stochastic evolution equations, we obtain the stochastic integral partial differential equation for the inverse of the stochastic flow generated by a stochastic differential equation driven by a Brownian motion and a Poisson point process. By composing the random field generated by the solution of a backward stochastic differential equation with the inverse of the stochastic flow, we construct the classical solution of the system of backward stochastic integral partial differential equations. As a result, we establish a stochastic Feynman-Kac formula.

Affiliated with

Also associated with

No associations

Rating

Semi-linear Backward Stochastic Integral Partial Differential Equations driven by a Brownian motion and a Poisson point process does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Semi-linear Backward Stochastic Integral Partial Differential Equations driven by a Brownian motion and a Poisson point process, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Semi-linear Backward Stochastic Integral Partial Differential Equations driven by a Brownian motion and a Poisson point process will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-62745